Siem Jan Koopman
Names
first: | Siem Jan |
last: | Koopman |
Contact
email: | |
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
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Vrije Universiteit Amsterdam
→ School of Business and Economics
→ Afdeling Econometrie and Operations Research (weight: 90%)
- website
- location: Amsterdam, Netherlands
-
Tinbergen Instituut (weight: 10%)
- website
- location: Amsterdam, Netherlands
Research profile
author of:
-
Computing Observation Weights for Signal Extraction and Filtering
by A. C. Harvey & Siem Jan Koopman -
Maximum Likelihood Estimation of Stochastic Volatility Models
by G. Sandmann & Siem Jan Koopman -
Testing the Assumptions Behind the Use of Importance Sampling
by Siem Jan Koopman & Neil Shephard -
An efficient and simple simulation smoother for state space time series analysis
by J. Durbin and S. J. Koopman -
Fast Estimation of Parameters in State Space Models
by Siem Jan Koopman -
Diagnostic Checking of Unobserved-Components Time Series Models.
by Harvey, Andrew C. & Koopman, Siem Jan -
The Modeling and Seasonal Adjustment of Weekly Observations.
by Harvey, Andrew & Koopman, Siem Jan & Riani, Marco -
Statistical algorithms for models in state space using SsfPack 2.2
by SIEM JAN KOOPMAN & NEIL SHEPHARD & JURGEN A. DOORNIK -
Signal extraction and the formulation of unobserved components models
by ANDREW HARVEY & SIEM JAN KOOPMAN -
Filtering and smoothing of state vector for diffuse state‐space models
by S. J. Koopman & J. Durbin -
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
by Sandmann, Gleb & Koopman, Siem Jan -
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements
by Eugenie Hol & Siem Jan Koopman & Borus Jungbacker -
Computing observation weights for signal extraction and filtering
by Koopman, Siem Jan & Harvey, Andrew -
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition
by Rob Luginbuhl & Siem Jan Koopman -
Detecting shocks: Outliers and breaks in time series
by Atkinson, A. C. & Koopman, S. J. & Shephard, N. -
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
by Marius Ooms & M. Angeles Carnero & Siem Jan Koopman -
Time-Series Modelling of Daily Tax Revenues
by Marius Ooms & Björn de Groot & Siem Jan Koopman -
The stochastic volatility in mean model: empirical evidence from international stock markets
by Siem Jan Koopman & Eugenie Hol Uspensky -
Business and default cycles for credit risk
by André Lucas & Siem Jan Koopman -
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
by Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie -
Empirical credit cycles and capital buffer formation
by Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter -
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Siem Jan Koopman & André Lucas & Robert J. Daniels -
A non-Gaussian generalization of the Airline model for robust seasonal adjustment
by SIEM JAN KOOPMAN & JOHN A. D. ASTON -
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
by Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles -
Special Issue on Nonlinear Modelling and Financial Econometrics
by Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan -
State Space Models With a Common Stochastic Variance
by Koopman S. J. & Bos C. S. -
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
by Valle e Azevedo, Joao & Koopman, Siem Jan & Rua, Antonio -
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives
by J. Durbin & S. J. Koopman -
Discussion of ‘MCMC‐based inference’ by R. Paap
by S. J. Koopman -
Forecasting daily time series using periodic unobserved components time series models
by Koopman, Siem Jan & Ooms, Marius -
Time Series Modelling of Daily Tax Revenues
by Siem Jan Koopman & Marius Ooms -
Interaction between structural and cyclical shocks in production and employment
by F. Butter & S. Koopman -
The multi-state latent factor intensity model for credit rating transitions
by Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre -
Model‐based measurement of latent risk in time series with applications
by Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman -
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
by Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest -
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US*
by Siem Jan Koopman & João Valle E. Azevedo -
Long memory modelling of inflation with stochastic variance and structural breaks
by Charles S. Bos & Siem Jan Koopman & Marius Ooms -
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
by Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre -
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
by Borus Jungbacker & Siem Jan Koopman -
Credit cycles and macro fundamentals
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B. -
An hourly periodic state space model for modelling French national electricity load
by Dordonnat, V. & Koopman, S. J. & Ooms, M. & Dessertaine, A. & Collet, J. -
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Koopman, Siem Jan & Lucas, Andrà -
A General Framework for Observation Driven Time-Varying Parameter Models
by Drew Creal & Siem Jan Koopman & Andre Lucas -
Testing the assumptions behind importance sampling
by Koopman, Siem Jan & Shephard, Neil & Creal, Drew -
Seasonality with trend and cycle interactions in unobserved components models
by Siem Jan Koopman & Kai Ming Lee -
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
by Lee Kai Ming & Koopman Siem Jan -
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*
by Siem Jan Koopman & Marius Ooms & Irma Hindrayanto -
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
by Borus Jungbacker & Siem Jan Koopman & Michel van der Wel -
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
by Drew Creal & Siem Jan Koopman & Eric Zivot -
Common business and housing market cycles in the Euro area from a multivariate decomposition.
by Ferrara, L. & Koopman, S. J. -
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
by António Rua & João Valle e Azevedo & Siem Jan Koopman -
Exact maximum likelihood estimation for non-stationary periodic time series models
by Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius -
Multivariate non‐linear time series modelling of exposure and risk in road safety research
by Frits Bijleveld & Jacques Commandeur & Siem Jan Koopman & Kees van Montfort -
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
by Drew Creal & Siem Jan Koopman & Eric Zivot -
Likelihood functions for state space models with diffuse initial conditions
by Marc K. Francke & Siem Jan Koopman & Aart F. De Vos -
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
by Koopman, Siem Jan & Mallee, Max I. P. & Van der Wel, Michel -
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
by Siem Jan Koopman & Soon Yip Wong -
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
by Borus Jungbacker & Siem Jan Koopman -
Maximum likelihood estimation for dynamic factor models with missing data
by Jungbacker, B. & Koopman, S. J. & van der Wel, M. -
An Introduction to State Space Time Series Analysis
by Commandeur, Jacques J. F. & Koopman, Siem Jan -
Systemic risk diagnostics: coincident indicators and early warning signals
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André -
Modeling frailty-correlated defaults using many macroeconomic covariates
by Koopman, Siem Jan & Lucas, André & Schwaab, Bernd -
Time Series Analysis by State Space Methods
by Durbin, James & Koopman, Siem Jan -
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
by Koopman, S. J. & Ooms, M. -
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
by Charles S. Bos & Pawe & lstrok; Janus & Siem Jan Koopman -
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
by Creal, Drew & Koopman, Siem Jan & Lucas, Andrà -
Time Series Analysis by State Space Methods
by Durbin, James & Koopman, Siem Jan -
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André -
Modelling trigonometric seasonal components for monthly economic time series
by Irma Hindrayanto & John A. D. Aston & Siem Jan Koopman & Marius Ooms -
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
by Siem Jan Koopman & Marcel Scharth -
Economic Trends and Cycles in Crime: A Study for England and Wales
by Vujić Sunčica & Koopman Siem Jan & Commandeur J. F. -
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
by Siem Jan Koopman & André Lucas & Bernd Schwaab -
Credit cycles and macro fundamentals
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André -
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
by Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius -
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
by Drew Creal & Siem Jan Koopman & André Lucas -
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
by Koopman, Siem Jan & van der Wel, Michel -
Nowcasting and forecasting economic growth in the euro area using principal components
by Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter -
Constructing seasonally adjusted data with time-varying confidence intervals
by Koopman, S. J. & Franses, Ph. H. B. F. -
Forecasting interest rates with shifting endpoints
by Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright -
Long memory with stochastic variance model: A recursive analysis for US inflation
by Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius -
Nowcasting and forecasting global financial sector stress and credit market dislocation
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André -
Observation driven mixed-measurement dynamic factor models with an application to credit risk
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew -
Generalized dynamic panel data models with random effects for cross-section and time
by Mesters, G. & Koopman, S. J. -
Forecasting macroeconomic variables using collapsed dynamic factor analysis
by Bräuning, Falk & Koopman, Siem Jan -
Interaction between supply and demand in production and employment
by Butter, Frank A. G. den & Koopman, S. J. -
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
by Drew Creal & Siem Jan Koopman & André Lucas -
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
by Geert Mesters & Siem Jan Koopman & Marius Ooms -
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.
by Siem Jan Koopman & Rutger Lit & Andre Lucas -
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
by G. Mesters & S. J. Koopman & M. Ooms -
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
by Siem Jan Koopman & André Lucas & Marcel Scharth -
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
by Siem Jan Koopman & Andre Lucas & Bernd Schwaab -
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 (1997), pp.269-298.)
by Andrew C. Harvey & Siem Jan Koopman -
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
by Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter -
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
by Siem Jan Koopman & André Lucas & André Monteiro -
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas -
On Importance Sampling for State Space Models
by Borus Jungbacker & Siem Jan Koopman -
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas -
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
by Siem Jan Koopman & Andre Lucas & Marcel Scharth -
Likelihood-based Analysis for Dynamic Factor Models
by Borus Jungbacker & Siem Jan Koopman -
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
by Charles S. Bos & Siem Jan Koopman -
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
by Irma Hindrayanto & John A. D. Aston & Siem Jan Koopman & Marius Ooms -
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
by Siem Jan Koopman & Marius Ooms & M. Angeles Carnero -
Model-based Measurement of Actual Volatility in High-Frequency Data
by B. Jungbacker & S. J. Koopman -
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
by Siem Jan Koopman & Marius Ooms & Irma Hindrayanto -
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
by Siem Jan Koopman & André Lucas & Marcel Scharth -
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas -
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
by M. Angeles Carnero & Siem Jan Koopman & Marius Ooms -
Optimal Formulations for Nonlinear Autoregressive Processes
by Francisco Blasques & Siem Jan Koopman & André Lucas -
Model-based Measurement of Latent Risk in Time Series with Applications
by Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman -
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
by Andrew C. Harvey & Siem Jan Koopman & Marco Riani -
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
by Siem Jan Koopman & André Lucas & Pieter Klaassen -
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
by Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke -
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area
by Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente -
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
by Siem Jan Koopman & Kai Ming Lee -
Measuring Synchronisation and Convergence of Business Cycles
by Siem Jan Koopman & Joao Valle e Azevedo -
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)
by Andrew C. Harvey & Siem Jan Koopman & J. Penzer -
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
by Siem Jan Koopman & Rutger Lit & Andre Lucas -
Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area
by Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke -
Maximum Likelihood Estimation for Score-Driven Models
by Francisco Blasques & Siem Jan Koopman & Andre Lucas -
Maximum likelihood estimation for dynamic factor models with missing data
by B. Jungbacker & S. J. Koopman & M. van der Wel -
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
by Siem Jan Koopman & Andre Lucas & Marcel Scharth -
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
by Siem Jan Koopman & Rutger Lit & André Lucas -
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
by Siem Jan Koopman & Kai Ming Lee -
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
by Albert J. Menkveld & Siem Jan Koopman & André Lucas -
Long memory dynamics for multivariate dependence under heavy tails
by Janus, Paweł & Koopman, Siem Jan & Lucas, André -
Likelihood‐based dynamic factor analysis for measurement and forecasting
by Borus Jungbacker & Siem Jan Koopman -
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas -
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
by C. S. Bos & S. J. Koopman & M. Ooms -
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman -
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
by Francisco Blasques & Siem Jan Koopman & André Lucas -
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas -
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
by Francisco Blasques & Siem Jan Koopman & Max Mallee -
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
by Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André -
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
by Pawel Janus & Siem Jan Koopman & André Lucas -
Information-theoretic optimality of observation-driven time series models for continuous responses
by F. Blasques & S. J. Koopman & A. Lucas -
Information Theoretic Optimality of Observation Driven Time Series Models
by Francisco Blasques & Siem Jan Koopman & André Lucas -
Likelihood Functions for State Space Models with Diffuse Initial Conditions
by Marc K. Francke & Siem Jan Koopman & Aart de Vos -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
by Borus Jungbacker & Siem Jan Koopman & Michel Wel -
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas -
Intervention time series analysis of crime rates: The case of sentence reform in Virginia
by Vujić, Sunčica & Commandeur, Jacques J. F. & Koopman, Siem Jan -
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
by Blasques, F. & Koopman, S. J. & Mallee, M. & Zhang, Z. -
Interaction between Supply and Demand Shocks in Production and Employment
by F. A. G. den Butter & S. J. Koopman -
The information in systemic risk rankings
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico -
Spillover dynamics for systemic risk measurement using spatial financial time series models
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia -
The Information in Systemic Risk Rankings
by Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas -
The information in systemic risk rankings
by Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André -
Spillover dynamics for systemic risk measurement using spatial financial time series models
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia -
Global credit risk: world country and industry factors
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André -
Global Credit Risk: World, Country and Industry Factors
by Bernd Schwaab & Siem Jan Koopman & André Lucas -
Generalized Autoregressive Method of Moments
by Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski -
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
by Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg -
Spline Smoothing over Difficult Regions
by Siem Jan Koopman & Soon Yip Wong -
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
by Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua -
Intervention Time Series Analysis of Crime Rates
by Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman -
Forecasting and nowcasting economic growth in the euro area using factor models
by Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper -
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
by Charles S. Bos & Pawel Janus & Siem Jan Koopman -
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
by Geert Mesters & Siem Jan Koopman -
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities
by Jacques J. F. Commandeur & Suncica Vujic & Siem Jan Koopman & Barbara Kasprzyk-Hordern -
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
by Falk Brauning & Siem Jan Koopman -
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
by Siem Jan Koopman & Michel van der Wel -
Forecasting Interest Rates with Shifting Endpoints
by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright -
Forecasting Cross-Sections of Frailty-Correlated Default
by Siem Jan Koopman & André Lucas & Bernd Schwaab -
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
by Eugenie Hol & Siem Jan Koopman -
Time Varying Transition Probabilities for Markov Regime Switching Models
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas -
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
by Siem Jan Koopman & Borus Jungbacker & Eugenie Hol -
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
by Siem Jan Koopman & Charles S. Bos -
Time Series Modelling of Daily Tax Revenues
by Siem Jan Koopman & Marius Ooms -
Testing for Parameter Instability in Competing Modeling Frameworks
by Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas -
Systemic Risk Diagnostics
by Bernd Schwaab & Andre Lucas & Siem Jan Koopman -
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *
by F. Blasques & P. Gorgi & S. Koopman & O. Wintenberger -
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia
by Suncica Vujic & Jacques Commandeur & Siem Jan Koopman -
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger -
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
by Siem Jan Koopman & N. G. Shephard -
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
by F. Blasques & P. Gorgi & S. Koopman & O. Wintenberger -
Fast Efficient Importance Sampling by State Space Methods
by Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen -
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
by Siem Jan Koopman & Soon Yip Wong -
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
by Francisco Blasques & Siem Jan Koopman & Andre Lucas -
Statistical Software for State Space Methods
by Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius -
Stock Index Volatility Forecasting with High Frequency Data
by Eugenie Hol & Siem Jan Koopman -
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
by Siem Jan Koopman & Marius Ooms -
The Stochastic Volatility in Mean Model
by Siem Jan Koopman & Eugenie Hol Uspensky -
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
by Geert Mesters & Bernd Schwaab & Siem Jan Koopman -
Empirical Bayes Methods for Dynamic Factor Models
by Siem Jan Koopman & Geert Mesters -
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
by Siem Jan Koopman & Rutger Lit -
The Dynamic Skellam Model with Applications
by Siem Jan Koopman & Rutger Lit & André Lucas -
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
by Drew Creal & Siem Jan Koopman & Eric Zivot -
A Forty Year Assessment of Forecasting the Boat Race
by Geert Mesters & Siem Jan Koopman -
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
by Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest -
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
by Borus Jungbacker & Siem Jan Koopman & Michel van der Wel -
Dynamic Factor Analysis in The Presence of Missing Data
by B. Jungbacker & S. J. Koopman & M. van der Wel -
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
by Istvan Barra & Siem Jan Koopman & Agnieszka Borowska -
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
by Drew Creal & Siem Jan Koopman & André Lucas -
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League
by Siem Jan Koopman & Rutger Lit -
Credit Cycles and Macro Fundamentals
by Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro -
Business and Default Cycles for Credit Risk
by Siem Jan Koopman & André Lucas -
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
by Siem Jan Koopman & Max I. P. Mallee & Michel van der Wel -
A General Framework for Observation Driven Time-Varying Parameter Models
by Drew Creal & Siem Jan Koopman & André Lucas -
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Siem Jan Koopman & André Lucas & Robert Daniels -
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger -
An Hourly Periodic State Space Model for Modelling French National Electricity Load
by V. Dordonnat & S. J. Koopman & M. Ooms & A. Dessertaine & J. Collet -
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
by Siem Jan Koopman & Marcel Scharth -
Convergence in European GDP Series
by Rob Luginbuhl & Siem Jan Koopman -
Modelling bid-ask spreads in competitive dealership markets
by Koopman, S. J. M. & Lai, H. N. -
Signal Extraction and the Formulation of Unobserved Components Models
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
by Durbin, J. & Koopman, S. J. M. -
Fast Filtering and Smoothing for Multivariate State Space Models
by Koopman, S. J. M. & Durbin, J. -
Statistical Algorithms for Models in State Space Using SsfPack 2.2
by Koopman, S. J. M. & Shephard, N. & Doornik, J. A. -
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
by Siem Koopman & André Lucas & Marcin Zamojski -
Testing for Parameter Instability across Different Modeling Frameworks
by Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas -
Regime switches in the volatility and correlation of financial institutions
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas -
The Dynamic Factor Network Model with an Application to Global Credit-Risk
by Falk Bräuning & Siem Jan Koopman -
Modeling the business and financial cycle in a multivariate structural time series model
by Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto & Anjali Chouhan -
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas -
Empirical Bayes Methods for Dynamic Factor Models
by S. J. Koopman & G. Mesters -
Global Credit Risk: World, Country and Industry Factors
by Bernd Schwaab & Siem Jan Koopman & André Lucas -
The dynamic factor network model with an application to global credit risk
by Falk Bräuning & Siem Jan Koopman -
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
by István Barra & Agnieszka Borowska & Siem Jan Koopman -
Time-Varying Transition Probabilities for Markov Regime Switching Models
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas -
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
by Siem Jan Koopman & Rutger Lit & André Lucas -
Missing Observations in Observation-Driven Time Series Models
by Francisco (F. ) Blasques & Paolo Gorgi & Siem Jan (S. J. ) Koopman -
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
by Mengheng Li & Siem Jan (S. J. ) Koopman -
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model
by P. Gorgi & Siem Jan (S. J. ) Koopman & R. Lit -
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
by Paolo Gorgi & Siem Jan (S. J. ) Koopman & Mengheng Li -
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
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
by Siem Jan (S. J. ) Koopman & Rutger Lit -
Fast Filtering and Smoothing for Multivariate State Space Models
by S. J. Koopman & J. Durbin -
The stochastic volatility in mean model: empirical evidence from international stock markets
by Siem Jan Koopman & Eugenie Hol Uspensky -
Amendments and Corrections
by F. Blasques & S. J. Koopman & A. Lucas -
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by P. Gorgi & P. R. Hansen & P. Janus & S. J. Koopman -
Bayesian Risk Forecasting for Long Horizons
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman -
Dynamic discrete copula models for high‐frequency stock price changes
by Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor -
Modified efficient importance sampling for partially non‐Gaussian state space models
by Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen -
Forecasting football match results in national league competitions using score-driven time series models
by Koopman, Siem Jan & Lit, Rutger -
A Time-Varying Parameter Model for Local Explosions
by Francisco (F. ) Blasques & Siem Jan (S. J. ) Koopman & Marc Nientker -
Partially Censored Posterior for Robust and Efficient Risk Evaluation
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk -
Long-term forecasting of El Niño events via dynamic factor simulations
by Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava -
Credit Cycles and Macro Fundamentals
by Siem Jan Koopman & Roman Kräussl & André Lucas & André Monteiro -
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals
by Siem Jan Koopman & Philip Hans Franses -
Forecasting in a changing world: from the great recession to the COVID-19 pandemic
by Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang -
The analysis and forecasting of tennis matches by using a high dimensional dynamic model
by P. Gorgi & S. J. Koopman & R. Lit -
A statistical model of the global carbon budget
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman -
Partially Censored Posterior for robust and efficient risk evaluation
by Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk -
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
by Paolo Gorgi & Siem Jan Koopman -
Partially censored posterior for robust and efficient risk evaluation
by Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K. -
Nonlinear autoregressive models with optimality properties
by Francisco Blasques & Siem Jan Koopman & André Lucas -
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman -
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
by Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng -
The dynamic factor network model with an application to international trade
by Bräuning, Falk & Koopman, Siem Jan -
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
by Francisco Blasques & Meindert Heres Hoogerkamp & Siem Jan Koopman & Ilka van de Werve -
Accelerating score-driven time series models
by Blasques, F. & Gorgi, P. & Koopman, S. J. -
Estimation of final standings in football competitions with premature ending: the case of COVID-19
by Paolo Gorgi & Siem Jan Koopman & Rutger Lit -
Statistical Algorithms for Models in State Space Using SsfPack 2.2
by Koopman, S. J. M. & Shephard, N. & Doornik, J. A. -
Fast Filtering and Smoothing for Multivariate State Space Models
by Koopman, S. J. M. & Durbin, J. -
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
by Durbin, J. & Koopman, S. J. M. -
Modelling bid-ask spreads in competitive dealership markets
by Koopman, S. J. M. & Lai, H. N. -
Signal Extraction and the Formulation of Unobserved Components Models
by Harvey, A. C. & Koopman, S. J. M.
editor of:
-
State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil -
State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil -
Unobserved Components and Time Series Econometrics
edited by Koopman, Siem Jan & Shephard, Neil -
Dynamic Factor Models
edited by Eric Hillebrand & Siem Jan Koopman