Siem Jan Koopman
Names
| first: |
Siem Jan |
| last: |
Koopman |
Identifer
Contact
| homepage: |
http://sjkoopman.net |
|
| phone: |
+31 20 598 6019 |
| postal address: |
Department of Econometrics, School of Business and Economics, Vrije Universiteit Amsterdam, De Boelelaan 1105, NL-1081 HV Amsterdam, The Netherlands |
Affiliations
-
Tinbergen Instituut (weight: 10%)
-
Vrije Universiteit Amsterdam
/ School of Business and Economics
/ Afdeling Econometrie and Operations Research (weight: 90%)
Research profile
author of:
- Long memory modelling of inflation with stochastic variance and structural breaks (RePEc:aah:create:2007-44)
by Charles S. Bos & Siem Jan Koopman & Marius Ooms - Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates (RePEc:aah:create:2009-39)
by Borus Jungbacker & Siem Jan Koopman & Michel van der Wel - Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors (RePEc:aah:create:2019-21)
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman - A statistical model of the global carbon budget (RePEc:aah:create:2020-18)
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman - Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models (RePEc:arx:papers:1610.02863)
by F Blasques & P Gorgi & S Koopman & O Wintenberger - Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices (RePEc:bes:jnlasa:v:102:y:2007:p:16-27)
by Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles - Diagnostic Checking of Unobserved-Components Time Series Models (RePEc:bes:jnlbes:v:10:y:1992:i:4:p:377-89)
by Harvey, Andrew C & Koopman, Siem Jan - The Modeling and Seasonal Adjustment of Weekly Observations (RePEc:bes:jnlbes:v:15:y:1997:i:3:p:354-68)
by Harvey, Andrew & Koopman, Siem Jan & Riani, Marco - State Space Models With a Common Stochastic Variance (RePEc:bes:jnlbes:v:22:y:2004:p:346-357)
by Koopman S.J. & Bos C.S. - Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter (RePEc:bes:jnlbes:v:24:y:2006:p:278-290)
by Valle e Azevedo, Joao & Koopman, Siem Jan & Rua, Antonio - Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (RePEc:bes:jnlbes:v:25:y:2007:p:213-225)
by Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (RePEc:bes:jnlbes:v:26:y:2008:p:510-525)
by Koopman, Siem Jan & Lucas, André - Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (RePEc:bes:jnlbes:v:28:i:3:y:2010:p:329-343)
by Koopman, Siem Jan & Mallee, Max I. P. & Van der Wel, Michel - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:bes:jnlbes:v:29:i:4:y:2011:p:552-563)
by Creal, Drew & Koopman, Siem Jan & Lucas, André - Common business and housing market cycles in the Euro area from a multivariate decomposition (RePEc:bfr:banfra:275)
by Ferrara, L. & Koopman, S J. - Model‐based measurement of latent risk in time series with applications (RePEc:bla:jorssa:v:171:y:2008:i:1:p:265-277)
by Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman - A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League (RePEc:bla:jorssa:v:178:y:2015:i:1:p:167-186)
by Siem Jan Koopman & Rutger Lit - The analysis and forecasting of tennis matches by using a high dimensional dynamic model (RePEc:bla:jorssa:v:182:y:2019:i:4:p:1393-1409)
by P. Gorgi & S. J. Koopman & R. Lit - Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives (RePEc:bla:jorssb:v:62:y:2000:i:1:p:3-56)
by J. Durbin & S. J. Koopman - Seasonality with trend and cycle interactions in unobserved components models (RePEc:bla:jorssc:v:58:y:2009:i:4:p:427-448)
by Siem Jan Koopman & Kai Ming Lee - Multivariate non‐linear time series modelling of exposure and risk in road safety research (RePEc:bla:jorssc:v:59:y:2010:i:1:p:145-161)
by Frits Bijleveld & Jacques Commandeur & Siem Jan Koopman & Kees van Montfort - Fast Filtering and Smoothing for Multivariate State Space Models (RePEc:bla:jtsera:v:21:y:2000:i:3:p:281-296)
by S. J. Koopman & J. Durbin - Filtering and smoothing of state vector for diffuse state‐space models (RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98)
by S. J. Koopman & J. Durbin - Likelihood functions for state space models with diffuse initial conditions (RePEc:bla:jtsera:v:31:y:2010:i:6:p:407-414)
by Marc K. Francke & Siem Jan Koopman & Aart F. De Vos - Time-Varying Transition Probabilities for Markov Regime Switching Models (RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478)
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas - Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals (RePEc:bla:obuest:v:64:y:2002:i:5:p:509-526)
by Siem Jan Koopman & Philip Hans Franses - Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US (RePEc:bla:obuest:v:70:y:2008:i:1:p:23-51)
by Siem Jan Koopman & João Valle E Azevedo - Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment (RePEc:bla:obuest:v:71:y:2009:i:5:p:683-713)
by Siem Jan Koopman & Marius Ooms & Irma Hindrayanto - Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies (RePEc:bla:obuest:v:84:y:2022:i:1:p:57-79)
by Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto - Discussion of ‘MCMC‐based inference’ by R. Paap (RePEc:bla:stanee:v:56:y:2002:i:1:p:34-40)
by S. J. Koopman - Time Series Modelling of Daily Tax Revenues (RePEc:bla:stanee:v:57:y:2003:i:4:p:439-469)
by Siem Jan Koopman & Marius Ooms - Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model (RePEc:bla:stanee:v:62:y:2008:i:1:p:104-130)
by Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest - Modified efficient importance sampling for partially non‐Gaussian state space models (RePEc:bla:stanee:v:73:y:2019:i:1:p:44-62)
by Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen - Partially Censored Posterior for robust and efficient risk evaluation (RePEc:bno:worpap:2019_12)
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk - Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (RePEc:bpj:sndecm:v:8:y:2004:i:2:n:5)
by Lee Kai Ming & Koopman Siem Jan - Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) (RePEc:cep:stiecm:241)
by Siem Jan Koopman & N.G. Shephard - The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) (RePEc:cep:stiecm:284)
by Andrew C Harvey & Siem Jan Koopman & Marco Riani - Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (19 (RePEc:cep:stiecm:307)
by Andrew C Harvey & Siem Jan Koopman - Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) (RePEc:cep:stiecm:327)
by Andrew C Harvey & Siem Jan Koopman & J Penzer - Unknown item RePEc:cfs:cfswop:wp200633 (paper)
- Unknown item RePEc:cup:cbooks:9780521835954 (book)
- State Space and Unobserved Component Models (RePEc:cup:cbooks:9781107407435)
by None - Systemic risk diagnostics: coincident indicators and early warning signals (RePEc:ecb:ecbwps:20111327)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 (RePEc:ecb:ecbwps:20121459)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Observation driven mixed-measurement dynamic factor models with an application to credit risk (RePEc:ecb:ecbwps:20131626)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew - The information in systemic risk rankings (RePEc:ecb:ecbwps:20161875)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico - Global credit risk: world country and industry factors (RePEc:ecb:ecbwps:20161922)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices (RePEc:ecm:ausm04:158)
by Marius Ooms & M. Angeles Carnero & Siem Jan Koopman - Computing Observation Weights for Signal Extraction and Filtering (RePEc:ecm:wc2000:0888)
by A. C. Harvey & Siem Jan Koopman - Statistical algorithms for models in state space using SsfPack 2.2 (RePEc:ect:emjrnl:v:2:y:1999:i:1:p:107-160)
by Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik - Signal extraction and the formulation of unobserved components models (RePEc:ect:emjrnl:v:3:y:2000:i:1:p:84-107)
by Andrew Harvey & Siem Jan Koopman - Forecasting daily time series using periodic unobserved components time series models (RePEc:eee:csdana:v:51:y:2006:i:2:p:885-903)
by Koopman, Siem Jan & Ooms, Marius - Special Issue on Nonlinear Modelling and Financial Econometrics (RePEc:eee:csdana:v:51:y:2006:i:4:p:2115-2117)
by Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan - Exact maximum likelihood estimation for non-stationary periodic time series models (RePEc:eee:csdana:v:54:y:2010:i:11:p:2641-2654)
by Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius - Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling (RePEc:eee:csdana:v:56:y:2012:i:11:p:3134-3152)
by Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius - Long memory with stochastic variance model: A recursive analysis for US inflation (RePEc:eee:csdana:v:76:y:2014:i:c:p:144-157)
by Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius - Computing observation weights for signal extraction and filtering (RePEc:eee:dyncon:v:27:y:2003:i:7:p:1317-1333)
by Koopman, Siem Jan & Harvey, Andrew - Maximum likelihood estimation for dynamic factor models with missing data (RePEc:eee:dyncon:v:35:y:2011:i:8:p:1358-1368)
by Jungbacker, B. & Koopman, S.J. & van der Wel, M. - Intervention time series analysis of crime rates: The case of sentence reform in Virginia (RePEc:eee:ecmode:v:57:y:2016:i:c:p:311-323)
by Vujić, Sunčica & Commandeur, Jacques J.F. & Koopman, Siem Jan - Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area (RePEc:eee:ecolet:v:145:y:2016:i:c:p:83-87)
by Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente - A robust Beveridge–Nelson decomposition using a score-driven approach with an application (RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715)
by Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J. - The multi-state latent factor intensity model for credit rating transitions (RePEc:eee:econom:v:142:y:2008:i:1:p:399-424)
by Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre - Testing the assumptions behind importance sampling (RePEc:eee:econom:v:149:y:2009:i:1:p:2-11)
by Koopman, Siem Jan & Shephard, Neil & Creal, Drew - Modeling frailty-correlated defaults using many macroeconomic covariates (RePEc:eee:econom:v:162:y:2011:i:2:p:312-325)
by Koopman, Siem Jan & Lucas, André & Schwaab, Bernd - Generalized dynamic panel data models with random effects for cross-section and time (RePEc:eee:econom:v:180:y:2014:i:2:p:127-140)
by Mesters, G. & Koopman, S.J. - Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data (RePEc:eee:econom:v:193:y:2016:i:2:p:405-417)
by Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z. - Spillover dynamics for systemic risk measurement using spatial financial time series models (RePEc:eee:econom:v:195:y:2016:i:2:p:211-223)
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia - Accelerating score-driven time series models (RePEc:eee:econom:v:212:y:2019:i:2:p:359-376)
by Blasques, F. & Gorgi, P. & Koopman, S.J. - Long-term forecasting of El Niño events via dynamic factor simulations (RePEc:eee:econom:v:214:y:2020:i:1:p:46-66)
by Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava - The dynamic factor network model with an application to international trade (RePEc:eee:econom:v:216:y:2020:i:2:p:494-515)
by Bräuning, Falk & Koopman, Siem Jan - Partially censored posterior for robust and efficient risk evaluation (RePEc:eee:econom:v:217:y:2020:i:2:p:335-355)
by Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K. - Missing observations in observation-driven time series models (RePEc:eee:econom:v:221:y:2021:i:2:p:542-568)
by Blasques, F. & Gorgi, P. & Koopman, S.J. - A time-varying parameter model for local explosions (RePEc:eee:econom:v:227:y:2022:i:1:p:65-84)
by Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc - Maximum likelihood estimation for score-driven models (RePEc:eee:econom:v:227:y:2022:i:2:p:325-346)
by Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André - Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects (RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165)
by Gorgi, P. & Koopman, S.J. - Time-Varying Parameters in Econometrics: The editor’s foreword (RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001173)
by Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A. - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions (RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919)
by Blasques, Francisco & van Brummelen, Janneke & Gorgi, Paolo & Koopman, Siem Jan - Observation-driven filtering of time-varying parameters using moment conditions (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512)
by Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin - Detecting shocks: Outliers and breaks in time series (RePEc:eee:econom:v:80:y:1997:i:2:p:387-422)
by Atkinson, A. C. & Koopman, S. J. & Shephard, N. - Estimation of stochastic volatility models via Monte Carlo maximum likelihood (RePEc:eee:econom:v:87:y:1998:i:2:p:271-301)
by Sandmann, Gleb & Koopman, Siem Jan - Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475)
by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie - Credit cycles and macro fundamentals (RePEc:eee:empfin:v:16:y:2009:i:1:p:42-54)
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B. - Long memory dynamics for multivariate dependence under heavy tails (RePEc:eee:empfin:v:29:y:2014:i:c:p:187-206)
by Janus, Paweł & Koopman, Siem Jan & Lucas, André - The information in systemic risk rankings (RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475)
by Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors (RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000232)
by Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan - An hourly periodic state space model for modelling French national electricity load (RePEc:eee:intfor:v:24:y:2008:i:4:p:566-587)
by Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J. - Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments (RePEc:eee:intfor:v:26:y::i:4:p:647-651)
by Koopman, S.J. & Ooms, M. - Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model (RePEc:eee:intfor:v:29:y:2013:i:4:p:676-694)
by Koopman, Siem Jan & van der Wel, Michel - Forecasting macroeconomic variables using collapsed dynamic factor analysis (RePEc:eee:intfor:v:30:y:2014:i:3:p:572-584)
by Bräuning, Falk & Koopman, Siem Jan - Nowcasting and forecasting global financial sector stress and credit market dislocation (RePEc:eee:intfor:v:30:y:2014:i:3:p:741-758)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models (RePEc:eee:intfor:v:32:y:2016:i:3:p:875-887)
by Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André - Forecasting and nowcasting economic growth in the euro area using factor models (RePEc:eee:intfor:v:32:y:2016:i:4:p:1284-1305)
by Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper - Forecasting football match results in national league competitions using score-driven time series models (RePEc:eee:intfor:v:35:y:2019:i:2:p:797-809)
by Koopman, Siem Jan & Lit, Rutger - Forecasting economic time series using score-driven dynamic models with mixed-data sampling (RePEc:eee:intfor:v:35:y:2019:i:4:p:1735-1747)
by Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng - Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data (RePEc:eee:intfor:v:37:y:2021:i:4:p:1426-1441)
by Blasques, Francisco & Hoogerkamp, Meindert Heres & Koopman, Siem Jan & van de Werve, Ilka - Empirical credit cycles and capital buffer formation (RePEc:eee:jbfina:v:29:y:2005:i:12:p:3159-3179)
by Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter - Maximum likelihood estimation of stochastic volatility models (RePEc:ehl:lserod:119161)
by Sandmann, G. & Koopman, Siem - Unknown item RePEc:eme:aecopp:aeco.2016.35 (book)
- Model-Based Measurement of Actual Volatility in High-Frequency Data (RePEc:eme:aecozz:s0731-9053(05)20007-5)
by Borus Jungbacker & Siem Jan Koopman - Messy Time Series (RePEc:eme:aecozz:s0731-9053(1999)0000013007)
by Andrew Harvey & Siem Jan Koopman & Jeremy Penzer - Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series (RePEc:eme:ceazzz:s0573-8555(05)76008-9)
by Siem Jan Koopman & Kai Ming Lee & Soon Yip Wong - Constructing seasonally adjusted data with time-varying confidence intervals (RePEc:ems:eureir:1667)
by Koopman, S.J. & Franses, Ph.H.B.F. - The dynamic factor network model with an application to global credit risk (RePEc:fip:fedbwp:16-13)
by Falk Bräuning & Siem Jan Koopman - Maximum Likelihood Estimation of Stochastic Volatility Models (RePEc:fmg:fmgdps:dp248)
by G Sandmann & Siem Jan Koopman - Maximum likelihood estimation for dynamic factor models with missing data (RePEc:hal:journl:hal-00828980)
by B. Jungbacker & S.J. Koopman & M. van Der Wel - Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models (RePEc:hal:journl:hal-01377971)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - Unknown item RePEc:hal:wpaper:hal-01377971 (paper)
- A General Framework for Observation Driven Time-Varying Parameter Models (RePEc:hst:ghsdps:gd08-038)
by Drew Creal & Siem Jan Koopman & Andre Lucas - The stochastic volatility in mean model: empirical evidence from international stock markets (RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689)
by Siem Jan Koopman & Eugenie Hol Uspensky - Convergence in European GDP series: a multivariate common converging trend-cycle decomposition (RePEc:jae:japmet:v:19:y:2004:i:5:p:611-636)
by Rob Luginbuhl & Siem Jan Koopman - Business and default cycles for credit risk (RePEc:jae:japmet:v:20:y:2005:i:2:p:311-323)
by André Lucas & Siem Jan Koopman - Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter (RePEc:jae:japmet:v:25:y:2010:i:4:p:695-719)
by Drew Creal & Siem Jan Koopman & Eric Zivot - Economic Trends and Cycles in Crime: A Study for England and Wales (RePEc:jns:jbstat:v:232:y:2012:i:6:p:652-677)
by Vujić Sunčica & Koopman Siem Jan & Commandeur J.F. - A non-Gaussian generalization of the Airline model for robust seasonal adjustment (RePEc:jof:jforec:v:25:y:2006:i:5:p:325-349)
by Siem Jan Koopman & John A. D. Aston - Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra (RePEc:jof:jforec:v:30:y:2011:i:1:p:147-167)
by Siem Jan Koopman & Soon Yip Wong - Statistical Software for State Space Methods (RePEc:jss:jstsof:v:041:i01)
by Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius - A regression-based approach to the CO2 airborne fraction (RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-52728-1)
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman - On the evidence of a trend in the CO2 airborne fraction (RePEc:nat:nature:v:616:y:2023:i:7956:d:10.1038_s41586-023-05871-6)
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman - Regime switches in the volatility and correlation of financial institutions (RePEc:nbb:reswpp:201210-227)
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas - Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting (RePEc:nbp:nbpmis:258)
by Siem Koopman & André Lucas & Marcin Zamojski - Testing the Assumptions Behind the Use of Importance Sampling (RePEc:nuf:econwp:0217)
by Siem Jan Koopman & Neil Shephard - Information-theoretic optimality of observation-driven time series models for continuous responses (RePEc:oup:biomet:v:102:y:2015:i:2:p:325-343.)
by F. Blasques & S. J. Koopman & A. Lucas - Amendments and Corrections (RePEc:oup:biomet:v:105:y:2018:i:3:p:753-753.)
by F Blasques & S J Koopman & A Lucas - Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models (RePEc:oup:biomet:v:94:y:2007:i:4:p:827-839)
by Borus Jungbacker & Siem Jan Koopman - Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing (RePEc:oup:jfinec:v:10:y:2012:i:2:p:354-389)
by Charles S. Bos & Paweł Janus & Siem Jan Koopman - The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures (RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115)
by Siem Jan Koopman & Marcel Scharth - Testing for Parameter Instability across Different Modeling Frameworks (RePEc:oup:jfinec:v:15:y:2017:i:2:p:223-246.)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas - Bayesian Dynamic Modeling of High-Frequency Integer Price Changes (RePEc:oup:jfinec:v:16:y:2018:i:3:p:384-424.)
by István Barra & Agnieszka Borowska & Siem Jan Koopman - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model (RePEc:oup:jfinec:v:17:y:2019:i:1:p:1-32.)
by P Gorgi & P R Hansen & P Janus & S J Koopman - Time Series Analysis by State Space Methods (RePEc:oxp:obooks:9780198523543)
by Durbin, James & Koopman, Siem Jan - An Introduction to State Space Time Series Analysis (RePEc:oxp:obooks:9780199228874)
by Commandeur, Jacques J.F. & Koopman, Siem Jan - Time Series Analysis by State Space Methods (RePEc:oxp:obooks:9780199641178)
by Durbin, James & Koopman, Siem Jan - Unobserved Components and Time Series Econometrics (RePEc:oxp:obooks:9780199683666)
by None - Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area (RePEc:ptu:wpaper:w200316)
by António Rua & João Valle e Azevedo & Siem Jan Koopman - An efficient and simple simulation smoother for state space time series analysis (RePEc:sce:scecf1:52)
by J. Durbin and S.J. Koopman - Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements (RePEc:sce:scecf4:342)
by Eugenie Hol & Siem Jan Koopman & Borus Jungbacker - Fast Estimation of Parameters in State Space Models (RePEc:sce:scecf9:311)
by Siem Jan Koopman - Time-Series Modelling of Daily Tax Revenues (RePEc:sce:scecf9:312)
by Marius Ooms & Björn de Groot & Siem Jan Koopman - Estimation of final standings in football competitions with a premature ending: the case of COVID-19 (RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00415-7)
by P. Gorgi & S. J. Koopman & R. Lit - Interaction between structural and cyclical shocks in production and employment (RePEc:spr:weltar:v:137:y:2001:i:2:p:273-296)
by F. Butter & S. Koopman - Modelling trigonometric seasonal components for monthly economic time series (RePEc:taf:applec:v:45:y:2013:i:21:p:3024-3034)
by Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms - Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:385-408)
by Borus Jungbacker & Siem Jan Koopman - Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (RePEc:taf:emetrv:v:35:y:2016:i:4:p:659-687)
by G. Mesters & S. J. Koopman & M. Ooms - Nonlinear autoregressive models with optimality properties (RePEc:taf:emetrv:v:39:y:2020:i:6:p:559-578)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices (RePEc:taf:emetrv:v:43:y:2024:i:8:p:638-670)
by Francisco Blasques & Enzo D’Innocenzo & Siem Jan Koopman - Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model (RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1490-1503)
by Siem Jan Koopman & Rutger Lit & André Lucas - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:taf:jnlbes:v:29:y:2011:i:4:p:552-563)
by Drew Creal & Siem Jan Koopman & André Lucas - Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 (RePEc:taf:jnlbes:v:30:y:2012:i:4:p:521-532)
by Siem Jan Koopman & André Lucas & Bernd Schwaab - Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models (RePEc:taf:jnlbes:v:33:y:2015:i:1:p:114-127)
by Siem Jan Koopman & André Lucas & Marcel Scharth - Interaction between Supply and Demand Shocks in Production and Employment (RePEc:tin:wpaper:19970052)
by F.A.G. den Butter & S.J. Koopman - The Stochastic Volatility in Mean Model (RePEc:tin:wpaper:20000024)
by Siem Jan Koopman & Eugenie Hol Uspensky - Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility (RePEc:tin:wpaper:20000104)
by Eugenie Hol & Siem Jan Koopman - Time Series Modelling of Daily Tax Revenues (RePEc:tin:wpaper:20010032)
by Siem Jan Koopman & Marius Ooms - Stock Index Volatility Forecasting with High Frequency Data (RePEc:tin:wpaper:20020068)
by Eugenie Hol & Siem Jan Koopman - Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation (RePEc:tin:wpaper:20020107)
by Siem Jan Koopman & André Lucas & Pieter Klaassen - Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series (RePEc:tin:wpaper:20020113)
by Siem Jan Koopman & Charles S. Bos - Convergence in European GDP Series (RePEc:tin:wpaper:20030031)
by Rob Luginbuhl & Siem Jan Koopman - Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence (RePEc:tin:wpaper:20030037)
by Albert J. Menkveld & Siem Jan Koopman & André Lucas - Intervention Time Series Analysis of Crime Rates (RePEc:tin:wpaper:20030040)
by Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman - Measuring Synchronisation and Convergence of Business Cycles (RePEc:tin:wpaper:20030052)
by Siem Jan Koopman & Joao Valle e Azevedo - Business and Default Cycles for Credit Risk (RePEc:tin:wpaper:20030062)
by Siem Jan Koopman & André Lucas - Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area (RePEc:tin:wpaper:20030069)
by Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua - Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices (RePEc:tin:wpaper:20030071)
by M. Angeles Carnero & Siem Jan Koopman & Marius Ooms - Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements (RePEc:tin:wpaper:20040016)
by Siem Jan Koopman & Borus Jungbacker & Eugenie Hol - Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models (RePEc:tin:wpaper:20040135)
by Siem Jan Koopman & Marius Ooms - Model-based Measurement of Actual Volatility in High-Frequency Data (RePEc:tin:wpaper:20050002)
by B. Jungbacker & S.J. Koopman - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (RePEc:tin:wpaper:20050060)
by Siem Jan Koopman & André Lucas & Robert Daniels - The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (RePEc:tin:wpaper:20050071)
by Siem Jan Koopman & André Lucas & André Monteiro - Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series (RePEc:tin:wpaper:20050081)
by Siem Jan Koopman & Kai Ming Lee - Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices (RePEc:tin:wpaper:20050091)
by Siem Jan Koopman & Marius Ooms & M. Angeles Carnero - On Importance Sampling for State Space Models (RePEc:tin:wpaper:20050117)
by Borus Jungbacker & Siem Jan Koopman - Model-based Measurement of Latent Risk in Time Series with Applications (RePEc:tin:wpaper:20050118)
by Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman - Credit Cycles and Macro Fundamentals (RePEc:tin:wpaper:20060023)
by Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro - Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment (RePEc:tin:wpaper:20060101)
by Siem Jan Koopman & Marius Ooms & Irma Hindrayanto - Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series (RePEc:tin:wpaper:20060105)
by Siem Jan Koopman & Soon Yip Wong - Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model (RePEc:tin:wpaper:20070027)
by Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest - Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (RePEc:tin:wpaper:20070095)
by Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel - Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks (RePEc:tin:wpaper:20070099)
by C.S. Bos & S.J. Koopman & M. Ooms - Likelihood-based Analysis for Dynamic Factor Models (RePEc:tin:wpaper:20080007)
by Borus Jungbacker & Siem Jan Koopman - An Hourly Periodic State Space Model for Modelling French National Electricity Load (RePEc:tin:wpaper:20080008)
by V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet - Seasonality with Trend and Cycle Interactions in Unobserved Components Models (RePEc:tin:wpaper:20080028)
by Siem Jan Koopman & Kai Ming Lee - Forecasting Cross-Sections of Frailty-Correlated Default (RePEc:tin:wpaper:20080029)
by Siem Jan Koopman & André Lucas & Bernd Schwaab - Likelihood Functions for State Space Models with Diffuse Initial Conditions (RePEc:tin:wpaper:20080040)
by Marc K. Francke & Siem Jan Koopman & Aart de Vos - The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model (RePEc:tin:wpaper:20080069)
by Drew Creal & Siem Jan Koopman & Eric Zivot - A General Framework for Observation Driven Time-Varying Parameter Models (RePEc:tin:wpaper:20080108)
by Drew Creal & Siem Jan Koopman & André Lucas - Spline Smoothing over Difficult Regions (RePEc:tin:wpaper:20080114)
by Siem Jan Koopman & Soon Yip Wong - Dynamic Factor Analysis in The Presence of Missing Data (RePEc:tin:wpaper:20090010)
by B. Jungbacker & S.J. Koopman & M. van der Wel - Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (RePEc:tin:wpaper:20090041)
by Borus Jungbacker & Siem Jan Koopman & Michel van der Wel - Spot Variance Path Estimation and its Application to High Frequency Jump Testing (RePEc:tin:wpaper:20090110)
by Charles S. Bos & Pawel Janus & Siem Jan Koopman - Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective (RePEc:tin:wpaper:20100004)
by Siem Jan Koopman & Andre Lucas & Bernd Schwaab - Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production (RePEc:tin:wpaper:20100017)
by Charles S. Bos & Siem Jan Koopman - Modeling Trigonometric Seasonal Components for Monthly Economic Time Series (RePEc:tin:wpaper:20100018)
by Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (RePEc:tin:wpaper:20100032)
by Drew Creal & Siem Jan Koopman & André Lucas - Systemic Risk Diagnostics (RePEc:tin:wpaper:20100104)
by Bernd Schwaab & Andre Lucas & Siem Jan Koopman - Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (RePEc:tin:wpaper:20110042)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas - Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models (RePEc:tin:wpaper:20110057)
by Siem Jan Koopman & Andre Lucas & Marcel Scharth - Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model (RePEc:tin:wpaper:20110063)
by Siem Jan Koopman & Michel van der Wel - Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails (RePEc:tin:wpaper:20110078)
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas - Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (RePEc:tin:wpaper:20110090)
by Geert Mesters & Siem Jan Koopman & Marius Ooms - The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (RePEc:tin:wpaper:20110132)
by Siem Jan Koopman & Marcel Scharth - Long Memory Dynamics for Multivariate Dependence under Heavy Tails (RePEc:tin:wpaper:20110175)
by Pawel Janus & Siem Jan Koopman & André Lucas - Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia (RePEc:tin:wpaper:20120007)
by Suncica Vujic & Jacques Commandeur & Siem Jan Koopman - Fast Efficient Importance Sampling by State Space Methods (RePEc:tin:wpaper:20120008)
by Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen - Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time (RePEc:tin:wpaper:20120009)
by Geert Mesters & Siem Jan Koopman - Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (RePEc:tin:wpaper:20120020)
by Siem Jan Koopman & Andre Lucas & Marcel Scharth - Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis (RePEc:tin:wpaper:20120042)
by Falk Brauning & Siem Jan Koopman - Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes (RePEc:tin:wpaper:20120059)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas - Forecasting Interest Rates with Shifting Endpoints (RePEc:tin:wpaper:20120076)
by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright - A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League (RePEc:tin:wpaper:20120099)
by Siem Jan Koopman & Rutger Lit - A Forty Year Assessment of Forecasting the Boat Race (RePEc:tin:wpaper:20120110)
by Geert Mesters & Siem Jan Koopman - Testing for Parameter Instability in Competing Modeling Frameworks (RePEc:tin:wpaper:20140010)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas - Maximum Likelihood Estimation for Score-Driven Models (RePEc:tin:wpaper:20140029)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas - The Dynamic Skellam Model with Applications (RePEc:tin:wpaper:20140032)
by Siem Jan Koopman & Rutger Lit & André Lucas - Information Theoretic Optimality of Observation Driven Time Series Models (RePEc:tin:wpaper:20140046)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Empirical Bayes Methods for Dynamic Factor Models (RePEc:tin:wpaper:20140061)
by Siem Jan Koopman & Geert Mesters - A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area (RePEc:tin:wpaper:20140071)
by Geert Mesters & Bernd Schwaab & Siem Jan Koopman - Time Varying Transition Probabilities for Markov Regime Switching Models (RePEc:tin:wpaper:20140072)
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas - Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties (RePEc:tin:wpaper:20140074)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Optimal Formulations for Nonlinear Autoregressive Processes (RePEc:tin:wpaper:20140103)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models (RePEc:tin:wpaper:20140105)
by Francisco Blasques & Siem Jan Koopman & Max Mallee - Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models (RePEc:tin:wpaper:20140107)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg - Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components (RePEc:tin:wpaper:20140113)
by Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models (RePEc:tin:wpaper:20140118)
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas - Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities (RePEc:tin:wpaper:20140135)
by Jacques J.F. Commandeur & Suncica Vujic & Siem Jan Koopman & Barbara Kasprzyk-Hordern - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models (RePEc:tin:wpaper:20150027)
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas - Global Credit Risk: World, Country and Industry Factors (RePEc:tin:wpaper:20150029)
by Bernd Schwaab & Siem Jan Koopman & André Lucas - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions (RePEc:tin:wpaper:20150037)
by Siem Jan Koopman & Rutger Lit & André Lucas - The Information in Systemic Risk Rankings (RePEc:tin:wpaper:20150070)
by Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model (RePEc:tin:wpaper:20150076)
by Siem Jan Koopman & Rutger Lit & Andre Lucas - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models (RePEc:tin:wpaper:20150083)
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas - A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” (RePEc:tin:wpaper:20150131)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - Generalized Autoregressive Method of Moments (RePEc:tin:wpaper:20150138)
by Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski - Bayesian Dynamic Modeling of High-Frequency Integer Price Changes (RePEc:tin:wpaper:20160028)
by Istvan Barra & Siem Jan Koopman & Agnieszka Borowska - Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area (RePEc:tin:wpaper:20160029)
by Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S (RePEc:tin:wpaper:20160051)
by Siem Jan Koopman & Rutger Lit & Andre Lucas - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model (RePEc:tin:wpaper:20160061)
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models (RePEc:tin:wpaper:20160082)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - The Dynamic Factor Network Model with an Application to Global Credit-Risk (RePEc:tin:wpaper:20160105)
by Falk Bräuning & Siem Jan Koopman - Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting (RePEc:tin:wpaper:20170059)
by Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman - Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models (RePEc:tin:wpaper:20170062)
by Siem Jan (S.J.) Koopman & Rutger Lit - The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model (RePEc:tin:wpaper:20180009)
by P. Gorgi & Siem Jan (S.J.) Koopman & R. Lit - Missing Observations in Observation-Driven Time Series Models (RePEc:tin:wpaper:20180013)
by Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman - Forecasting economic time series using score-driven dynamic models with mixed-data sampling (RePEc:tin:wpaper:20180026)
by Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li - Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction (RePEc:tin:wpaper:20180027)
by Mengheng Li & Siem Jan (S.J.) Koopman - A Time-Varying Parameter Model for Local Explosions (RePEc:tin:wpaper:20180088)
by Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker - Bayesian Risk Forecasting for Long Horizons (RePEc:tin:wpaper:20190018)
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman - Partially Censored Posterior for Robust and Efficient Risk Evaluation (RePEc:tin:wpaper:20190057)
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk - Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects (RePEc:tin:wpaper:20200004)
by Paolo Gorgi & Siem Jan Koopman - Estimation of final standings in football competitions with premature ending: the case of COVID-19 (RePEc:tin:wpaper:20200070)
by Paolo Gorgi & Siem Jan Koopman & Rutger Lit - Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data (RePEc:tin:wpaper:20200078)
by Francisco Blasques & Meindert Heres Hoogerkamp & Siem Jan Koopman & Ilka van de Werve - Forecasting in a changing world: from the great recession to the COVID-19 pandemic (RePEc:tin:wpaper:20210006)
by Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang - Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels (RePEc:tin:wpaper:20210008)
by Siem Jan Koopman & Julia Schaumburg & Quint Wiersma - Time-varying state correlations in state space models and their estimation via indirect inference (RePEc:tin:wpaper:20210020)
by Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors (RePEc:tin:wpaper:20210056)
by Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg - Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence (RePEc:tin:wpaper:20210057)
by Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman - Finding the European crime drop using a panel data model with stochastic trends (RePEc:tin:wpaper:20220089)
by Ilka van de Werve & Siem Jan Koopman - Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model (RePEc:tin:wpaper:20230007)
by F. Blasques & P. Gorgi & S. J. Koopman & J. Sampi - Unknown item RePEc:tin:wpaper:20230016 (paper)
- A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors (RePEc:tin:wpaper:20230021)
by Mariia Artemova & Francisco Blasques & Siem Jan Koopman - Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics (RePEc:tin:wpaper:20230065)
by Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli - A robust Beveridge-Nelson decomposition using a score-driven approach with an application (RePEc:tin:wpaper:20240003)
by Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman - A Novel Test for the Presence of Local Explosive Dynamics (RePEc:tin:wpaper:20240036)
by F. Blasques & S.J. Koopman & G. Mingoli & S. Telg - Statistical Early Warning Models with Applications (RePEc:tin:wpaper:20240037)
by Lucas P. Harlaar & Jacques J.F. Commandeur & Jan A. van den Brakel & Siem Jan Koopman & Niels Bos & Frits D. Bijleveld - Fast Filtering and Smoothing for Multivariate State Space Models (RePEc:tiu:tiucen:3ca0d14b-21ad-427f-8631-efb16eb47081)
by Koopman, S.J.M. & Durbin, J. - Signal Extraction and the Formulation of Unobserved Components Models (RePEc:tiu:tiucen:44688527-92c9-4c46-ac53-ff2013015d7f)
by Harvey, A.C. & Koopman, S.J.M. - Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives (RePEc:tiu:tiucen:6338af09-6f2c-46d0-985b-d85d089fbce3)
by Durbin, J. & Koopman, S.J.M. - Modelling bid-ask spreads in competitive dealership markets (RePEc:tiu:tiucen:7a193911-dbf2-4831-ac8d-96d94350780d)
by Koopman, S.J.M. & Lai, H.N. - Statistical Algorithms for Models in State Space Using SsfPack 2.2 (RePEc:tiu:tiucen:8fe36759-6517-4c66-86fa-e8cb6bc2b624)
by Koopman, S.J.M. & Shephard, N. & Doornik, J.A. - Fast Filtering and Smoothing for Multivariate State Space Models (RePEc:tiu:tiutis:3ca0d14b-21ad-427f-8631-efb16eb47081)
by Koopman, S.J.M. & Durbin, J. - Signal Extraction and the Formulation of Unobserved Components Models (RePEc:tiu:tiutis:44688527-92c9-4c46-ac53-ff2013015d7f)
by Harvey, A.C. & Koopman, S.J.M. - Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives (RePEc:tiu:tiutis:6338af09-6f2c-46d0-985b-d85d089fbce3)
by Durbin, J. & Koopman, S.J.M. - Modelling bid-ask spreads in competitive dealership markets (RePEc:tiu:tiutis:7a193911-dbf2-4831-ac8d-96d94350780d)
by Koopman, S.J.M. & Lai, H.N. - Statistical Algorithms for Models in State Space Using SsfPack 2.2 (RePEc:tiu:tiutis:8fe36759-6517-4c66-86fa-e8cb6bc2b624)
by Koopman, S.J.M. & Shephard, N. & Doornik, J.A. - Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (RePEc:tpr:restat:v:96:y:2014:i:5:p:898-915)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas - Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (RePEc:tpr:restat:v:98:y:2016:i:1:p:97-110)
by Siem Jan Koopman & André Lucas & Marcel Scharth - Empirical Bayes Methods for Dynamic Factor Models (RePEc:tpr:restat:v:99:y:2017:i:3:p:486-498)
by S. J. Koopman & G. Mesters - Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter (RePEc:udb:wpaper:uwec-2008-15-fc)
by Drew Creal & Siem Jan Koopman & Eric Zivot - Interaction between supply and demand in production and employment (RePEc:vua:wpaper:1996-25)
by Butter, Frank A.G. den & Koopman, S.J. - Likelihood‐based dynamic factor analysis for measurement and forecasting (RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c1-c21)
by Borus Jungbacker & Siem Jan Koopman - The stochastic volatility in mean model: empirical evidence from international stock markets (RePEc:wly:japmet:v:17:y:2002:i:6:p:667-689)
by Siem Jan Koopman & Eugenie Hol Uspensky - Business and default cycles for credit risk (RePEc:wly:japmet:v:20:y:2005:i:2:p:311-323)
by Siem Jan Koopman & André Lucas - Generalized Autoregressive Score Models With Applications (RePEc:wly:japmet:v:28:y:2013:i:5:p:777-795)
by Drew Creal & Siem Jan Koopman & André Lucas - Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates (RePEc:wly:japmet:v:29:y:2014:i:1:p:65-90)
by Borus Jungbacker & Siem Jan Koopman & Michel Wel - Forecasting interest rates with shifting endpoints (RePEc:wly:japmet:v:29:y:2014:i:5:p:693-712)
by Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright - Global Credit Risk: World, Country and Industry Factors (RePEc:wly:japmet:v:32:y:2017:i:2:p:296-317)
by Bernd Schwaab & Siem Jan Koopman & André Lucas - Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models (RePEc:wly:japmet:v:32:y:2017:i:5:p:1003-1026)
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas - Dynamic discrete copula models for high‐frequency stock price changes (RePEc:wly:japmet:v:33:y:2018:i:7:p:966-985)
by Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor - Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction (RePEc:wly:japmet:v:36:y:2021:i:5:p:614-627)
by Mengheng Li & Siem Jan Koopman - Credit cycles and macro fundamentals (RePEc:zbw:cfswop:200633)
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André - Spillover dynamics for systemic risk measurement using spatial financial time series models (RePEc:zbw:vfsc14:100632)
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia