Siem Jan Koopman

Q: What Schools Are Affiliated With Siem Jan Koopman

Siem Jan Koopman is affiliated with the following schools: Erasmus University Rotterdam, Aarhus University, University of Amsterdam, London School of Economics, Vrije Universiteit Amsterdam

Siem Jan Koopman's AcademicInfluence.com Rankings

Siem Jan Koopman

Economics

#2868

World Rank

#3259

Historical Rank

Econometrics

#72

World Rank

#74

Historical Rank

economics Degrees

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Economics

Siem Jan Koopman's Degrees

PhD Econometrics University of Amsterdam
Masters Econometrics University of Amsterdam
Bachelors Econometrics University of Amsterdam

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Siem Jan Koopman's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Time Series Analysis by State Space Methods (2001) (1369)
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013) (688)
A simple and efficient simulation smoother for state space time series analysis (2002) (589)
Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements (2004) (581)
Statistical algorithms for models in state space using SsfPack 2.2 (1999) (544)
Monte Carlo maximum likelihood estimation for non-Gaussian state space models (1997) (458)
Time Series Analysis by State Space Methods: Second Edition (2012) (402)
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives (1998) (388)
Estimation of stochastic volatility models via Monte Carlo maximum likelihood (1998) (351)
An Introduction to State Space Time Series Analysis (2007) (310)
Stamp 5.0 : structural time series analyser, modeller and predictor (1996) (278)
Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices (2007) (275)
Forecasting Hourly Electricity Demand Using Time-Varying Splines (1993) (269)
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2010) (260)
Diagnostic Checking of Unobserved-Components Time Series Models (1992) (244)
Disturbance smoother for state space models (1993) (225)
Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models (1997) (221)
Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2. (2009) (207)
The stochastic volatility in mean model: empirical evidence from international stock markets (2002) (193)
Business and Default Cycles for Credit Risk (2003) (191)
Fast Filtering and Smoothing for Multivariate State Space Models (2000) (172)
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters (2010) (168)
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (2005) (155)
An Hourly Periodic State Space Model for Modelling French National Electricity Load (2007) (153)
Credit Cycles and Macro Fundamentals (2006) (146)
Multivariate structural time series models (1997) (140)
Computing Observation Weights for Signal Extraction and Filtering (2003) (136)
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League (2012) (124)
Signal extraction and the formulation of unobserved components models (2000) (118)
Likelihood-based Analysis for Dynamic Factor Models (2008) (117)
Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates (2009) (115)
Information-theoretic optimality of observation-driven time series models for continuous responses (2015) (112)
Testing the assumptions behind importance sampling (2009) (105)
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2012) (103)
Structural Time Series Models (2005) (100)
Exact score for time series models in state space form (1992) (99)
Monte Carlo estimation for nonlinear non-Gaussian state space models (2007) (93)
Tracking the Business Cycle of the Euro Area (2006) (93)
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014) (93)
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (2003) (86)
The modeling and seasonal adjustment of weekly observations (1997) (83)
A General Framework for Observation Driven Time-Varying Parameter Models (2008) (83)
Spline Smoothing Over Difficult Regions (2008) (80)
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (2004) (80)
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011) (76)
Statistical algorithms for models in state space form: SsfPack 3.0 (2008) (73)
Time‐Varying Transition Probabilities for Markov Regime Switching Models (2017) (71)
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2013) (71)
Empirical credit cycles and capital buffer formation (2005) (70)
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011) (70)
Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data (2011) (70)
Statistical Software for State Space Methods (2011) (68)
State Space and Unobserved Component Models: Theory and Applications (2004) (67)
Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals (2010) (66)
Maximum Likelihood Estimation for Generalized Autoregressive Score Models (2014) (62)
Measuring Synchronization and Convergence of Business Cycles for the Euro Area, UK and US (2007) (61)
Convergence in European GDP series: a multivariate common converging trend–cycle decomposition (2004) (60)
The Information in Systemic Risk Rankings (2015) (60)
Likelihood�?Based Dynamic Factor Analysis for Measurement and Forecasting (2015) (57)
Forecasting Macroeconomic Variables Using Collapsed Dynamic Factor Analysis (2012) (57)
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area (2016) (55)
Regime Switches in the Volatility and Correlation of Financial Institutions (2012) (54)
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 (2012) (54)
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling (2012) (53)
Forecasting Interest Rates with Shifting Endpoints (2012) (52)
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes (2012) (52)
Detecting shocks: Outliers and breaks in time series (1997) (51)
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models (2016) (44)
State Space and Unobserved Component Models (2006) (44)
Long Memory Dynamics for Multivariate Dependence Under Heavy Tails (2011) (44)
Stock Index Volatility Forecasting with High Frequency Data (2002) (43)
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models (2015) (42)
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models (2017) (42)
Forecasting daily time series using periodic unobserved components time series models (2006) (41)
Forecasting the Varibility of Stock Index Returns with Stochastic Volatility Models and Implied Volatility (2000) (41)
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models (2016) (39)
Periodic Heteroskedastic Regarfima Models for Daily Electricity Spot Prices (2003) (39)
Global Credit Risk: World, Country and Industry Factors (2016) (38)
Unobserved components models in economics and finance (2009) (37)
Measuring Financial Cycles with a Model-Based Filter: Empirical Evidence for the United States and the Euro Area (2016) (36)
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter (2010) (36)
Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (2012) (34)
Common Business and Housing Market Cycles in the Euro Area from a Multivariate Decomposition (2010) (34)
MESSY TIME SERIES: A UNIFIED APPROACH (2009) (34)
Information Theoretic Optimality of Observation Driven Time Series Models (2014) (33)
MESSY TIME SERIES (1999) (33)
Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016) (32)
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models (2006) (31)
Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates (2012) (31)
Model‐based measurement of latent risk in time series with applications (2008) (31)
Likelihood functions for state space models with diffuse initial conditions (2006) (30)
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (2004) (29)
Maximum Likelihood Estimation for Score-Driven Models (2014) (29)
Spot Variance Path Estimation and Its Application to High Frequency Jump Testing (2009) (28)
Maximum likelihood estimation of parameters (2012) (27)
Long memory with stochastic variance model: A recursive analysis for US inflation (2014) (26)
Improving the long-lead predictability of El Niño using a novel forecasting scheme based on a dynamic components model (2016) (26)
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model (2017) (25)
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES: SMOOTH DYNAMIC FACTOR ANALYSIS (2014) (25)
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES: SMOOTH DYNAMIC FACTOR ANALYSIS (2014) (25)
Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (2007) (25)
Seasonality with trend and cycle interactions in unobserved components models (2008) (25)
Diagnostic checking and intra-daily effects in time series models (1992) (23)
Measuring Synchronisation and Convergence of Business Cycles (2003) (23)
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors (2021) (23)
Forecasting and nowcasting economic growth in the euro area using factor models (2016) (22)
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data (2016) (22)
State Space Models With a Common Stochastic Variance (2004) (22)
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks (2007) (22)
Convergence in European GDP Series (2003) (21)
Intervention Time Series Analysis of Crime Rates (2003) (21)
Generalized Autoregressive Score Models (2012) (20)
Testing the Assumptions Behind the use of Importance Sampling (2002) (20)
Time Series Modelling of Daily Tax Revenues (2001) (19)
Structural time series models in medicine (1996) (19)
The Stochastic Volatility in Mean Model (2000) (19)
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails (2011) (19)
Optimal Formulations for Nonlinear Autoregressive Processes (2014) (19)
State space modelling in macroeconomics and finance using SsfPack in S+Finmetrics (2004) (19)
Intervention time series analysis of crime rates: The case of sentence reform in Virginia (2016) (18)
Dynamic Factor Analysis in the Presence of Missing Data (2009) (18)
Dynamic discrete copula models for high‐frequency stock price changes (2018) (18)
Modeling the Business and Financial Cycle in a Multivariate Structural Time Series Model (2017) (17)
Forecasting Cross-Sections of Frailty-Correlated Default (2008) (17)
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties (2014) (16)
Exact maximum likelihood estimation for non-stationary periodic time series models (2010) (16)
Round-the-Clock Price Discovery for Cross-Listed Stocks (2003) (16)
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (2009) (15)
Forecasting economic time series using unobserved components time series models (2011) (15)
Unobserved Components and Time Series Econometrics (2015) (15)
Unobserved Components Models in Economics and Finance THE ROLE OF THE KALMAN FILTER IN TIME SERIES ECONOMETRICS (2010) (15)
Multivariate non‐linear time series modelling of exposure and risk in road safety research (2010) (15)
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility (2009) (15)
State Space Modeling (2002) (15)
Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective (2010) (15)
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time (2012) (15)
The analysis and forecasting of tennis matches by using a high dimensional dynamic model (2018) (14)
Systematic risk diagnostics (2010) (14)
Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts: The Credit Crisis of 2008 (2012) (13)
Tracking Growth and the Business Cycle: A Stochastic Common Cycle Model for the Euro Area (2003) (13)
A non-Gaussian generalization of the Airline model for robust seasonal adjustment (2006) (13)
Intraday Stock Price Dependence Using Dynamic Discrete Copula Distributions (2015) (13)
Essays on Monte Carlo Methods for State Space Models (2009) (13)
Model-Based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. (2016) (12)
Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals (2001) (12)
Model-Based Measurement of Actual Volatility in High-Frequency Data (2005) (12)
The Dynamic Skellam Model with Applications (2014) (12)
Multiyear Statistical Prediction of ENSO Enhanced by the Tropical Pacific Observing System (2020) (11)
Sensitivity of large dengue epidemics in Ecuador to long-lead predictions of El Niño (2019) (11)
*Periodic Unobserved Cycles in Seasonal Time Series with an Application to Us Unemployment (2009) (11)
Maximum Likelihood Estimation of Stochastic Volatility Models (1996) (11)
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area (2014) (11)
Nowcasting and forecasting global financial sector stress and credit market dislocation (2014) (10)
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model (2008) (10)
Testing for Parameter Instability across Different Modeling Frameworks (2016) (10)
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series (2006) (10)
Tests for cycles (2004) (10)
Testing for Parameter Instability in Competing Modeling Frameworks (2014) (9)
Kalman filtering and smoothing (1998) (9)
On Importance Sampling for State Space Models (2005) (9)
Trend analysis of the airborne fraction and sink rate of anthropogenically released CO2 (2018) (9)
Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 Credit Crisis (2010) (9)
A Statistical Model of the Global Carbon Budget (2020) (9)
Empirical Bayes Methods for Dynamic Factor Models (2014) (9)
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation (2003) (9)
Joint Bayesian Analysis of Parameters and States in Nonlinear non-Gaussian State Space Models (2017) (8)
Generalized autoregressive Method of Moments (2015) (8)
Dynamic factors in state-space models for hourly electricity load signal decomposition and forecasting (2009) (8)
Empirical Bayesian inference in a nonparametric regression model (2005) (8)
Special Issue on Nonlinear Modelling and Financial Econometrics (2006) (8)
The dynamic factor network model with an application to international trade (2020) (7)
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models (2011) (7)
Nonlinear autoregressive models with optimality properties (2020) (7)
Linear state space models (2012) (7)
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) (1995) (7)
INTERVENTION TIME SERIES ANALYSIS OF CRIME RATES: THE IMPACT OF SENTENCE REFORMS IN VIRGINIA (2012) (7)
Accelerating score-driven time series models (2019) (7)
Intradaily smoothing splines for time-varying regression models of hourly electricity loads (2010) (6)
Measuring Asymmetric Stochastic Cycle Components (2005) (6)
Forecasting Economic Time Series Using Score-Driven Dynamic Models with Mixed-Data Sampling (2018) (6)
State‐Space Methods (2006) (6)
Long-term forecasting of El Niño events via dynamic factor simulations (2020) (6)
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data (2020) (6)
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 (2020) (5)
Frequency domain and wavelet-based estimation for long-memory signal plus noise models (2004) (5)
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series (2005) (5)
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series (2002) (5)
Interactive virtual math : a tool to support self-construction graphs by dynamical relations (2017) (5)
Time-Varying Vector Autoregressive Models with Structural Dynamic Factors 1 (2017) (4)
Missing Observations in Observation-Driven Time Series Models (2018) (4)
Modelling trigonometric seasonal components for monthly economic time series (2013) (4)
Interaction between structural and cyclical shocks in production and employment (2001) (4)
Extracting Business Cycles Using Semi-Parametric Time-Varying Spectra with Applications to Us Macroeconomic Time Series (2006) (4)
SsfPack 2 . 0 : Statistical algorithms for models in state space An Ox link to underlying C code (1998) (4)
Modelling bid-ask spreads in competitive dealership markets (1998) (4)
Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models (2012) (4)
Beta Observation-Driven Models With Exogenous Regressors: A Joint Analysis of Realized Correlation and Leverage Effects (2020) (4)
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction (2018) (4)
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia (2012) (4)
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes (2018) (3)
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies* (2021) (3)
Model-Based Measurement of Latent Risk in Time Series with Applications (2005) (3)
Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra (2011) (3)
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (2008) (3)
Modified efficient importance sampling for partially non‐Gaussian state space models (2019) (3)
Fast Efficient Importance Sampling by State Space Methods (2014) (3)
The Dynamic Factor Network Model with an Application to Global Credit Risk (2016) (3)
Mixed Measurement Dynamic Factor Models (2010) (3)
Partially Censored Posterior for Robust and Efficient Risk Evaluation (2019) (3)
Nowcasting and Forecasting Economic Growth in the Euro Area Using Principal Components (2014) (2)
Testing for Parameter Instability across Competing Modeling Frameworks ∗ (2014) (2)
Economic Trends and Cycles in Crime: A Study for England and Wales (2012) (2)
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting (2017) (2)
Time Varying Transition Probabilities for Markov Regime Switching Models (2014) (2)
A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment (2012) (2)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
A Time-Varying Parameter Model for Local Explosions (2018) (2)
Maximum Likelihood Estimation for Score-Driven Models REVISION : 23 October 2017 (2017) (2)
Discussion of ‘MCMC‐based inference’ by R. Paap (2002) (2)
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-Varying Multivariate Trend-Cycle Model (2008) (2)
Short-term forecasting of business cycle turning points : a mixed-frequency Markov-switching dynamic factor analysis (2016) (2)
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction (2021) (2)
Continuous Time State Space Modelling with an Application to High-Frequency Road Traffic Data (2018) (2)
State Space Methods for Latent Trajectory and Parameter Estimation by Maximum Likelihood (2010) (2)
A Note on 'Continuous Invertibility and Stable QML Estimation of the EGARCH (1,1) Model' (2015) (2)
Models with Time-Varying Mean and Variance: A Robust Analysis of U.S. Industrial Production (2010) (2)
Time Series: State Space Methods (2015) (2)
Periodic Unobserved Component Time Series Models : estimation and forecasting with applications (2002) (2)
Weighted Maximum Likelihood Estimator for Mixed Frequency Dynamic Factor Models (2015) (1)
The Dynamic Nelson-Siegel Model with Time-Varying Loadings and Volatility (2007) (1)
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors (2021) (1)
Amendments and Corrections (2018) (1)
Time-varying state correlations in state space models and their estimation via indirect inference (2021) (1)
Using rapid damage observations from social media for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian (2020) (1)
Fitting the Term-structure in Stamp 8.10 2 Term Structure (2008) (1)
A Forty Year Assessment of Forecasting the Boat Race (2012) (1)
Forecasting in a Changing World: from the Great Recession to the COVID-19 Pandemic (2021) (1)
The Analysis and Forecasting of ATP Tennis Matches Using a High-Dimensional Dynamic Model (2018) (1)
Forecasting daily electricity demand using splines (1998) (1)
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels (2021) (1)
Disentangling the Reciprocal Relationship between Employment and Crime; a Bi-Directional Study Using Panel Data Methods (2011) (1)
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments (2010) (1)
The Non-Gaussian Airline Model for Robust Seasonal (2003) (1)
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models (2014) (1)
Using rapid damage observations for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian using social media (2022) (1)
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.) (1996) (1)
Bayesian estimation of parameters (2012) (1)
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models (2015) (1)
The common converging trend-cycle model: estimation, modeling and an application to European convergence (2002) (1)
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series (2010) (1)
What drives global credit risk conditions? Inference on world, regional, and industry factors (2014) (1)
Analysis of historical time series with messy features: the case of commodity prices in Babylonia (2014) (1)
Periodic Unobserved Cycles in Seasonal Time Series: Identification and Estimation (2006) (1)
Outliers and Switches in Time Series (1994) (1)
State Space and Unobserved Component Models: Empirical Bayesian inference in a nonparametric regression model (2004) (1)
Discrete Copula Distributions with Time-Varying Marginals and Dependence Structure ∗ (2015) (1)
Web Appendix to : “ Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models ” (2016) (1)
A Simple and Eecient Simulation Smoother for State Space Time Series Analysis (2001) (1)
Rejoinder to the discussion "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models" (2016) (0)
Initialisation of filter and smoother (2012) (0)
Illustrations of the use of the linear model (2012) (0)
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models (2021) (0)
Credit risk around the world: Inference on world, country and industry factors (2015) (0)
Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression (2023) (0)
A New Model for Dynamic Correlations under Skewness and Fat Tails (2011) (0)
Dynamic Models for Policy, Economics and Society: Time Series Methods ICPSR Summer Program in Quantitative Methods of Social Research July 21st-July 25th, 2014 (2014) (0)
The effect of economic development and policy on criminality (2000) (0)
Online Appendix for Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models (2014) (0)
Interactive virtual math (2017) (0)
Non-Gaussian and nonlinear illustrations (2012) (0)
Koopman , Siem Jan ; Ooms , Marius Working Paper Time Series Modelling of Daily Tax Revenues (2001) (0)
Finding the European crime drop using a panel data model with stochastic trends (0)
Leren met Interactive Virtual Math in de klas (2017) (0)
Global, Regional and Country Factors for the World Economy: a dynamic factor approach (2009) (0)
Method for modifying the fatty pressure of letters (1993) (0)
Unobserved components with stochastic volatility: Likelihood-based estimation and signal extraction Supplementary Appendix (2019) (0)
Learning with Interactive Virtual Math in the classroom (2017) (0)
Interaction between Supply and Demand Shocks in Production and Employment (1997) (0)
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models (2016) (0)
State structure, decision making and related issues (2004) (0)
Approximate filtering and smoothing (2012) (0)
An Empirical Assessment of the U.S. Phillips Curve over Time (2021) (0)
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence (2021) (0)
Local level model (2012) (0)
State Space and Unobserved Component Models: References (2004) (0)
TI 15-070 / III / DSF 94 The Information in Systemic Risk Rankings (2015) (0)
Read the news carefully : The effect of consolidation efforts on Dutch sovereign spreads (2017) (0)
Autoregressive Models with Time-Varying Dependence and Stochastic Volatility: An Application to Inflation Forecasting (2017) (0)
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models (2012) (0)
Forecasting the Boat Race (2015) (0)
Structural Time Series Model for El Niño Prediction (2015) (0)
Filtering, smoothing and forecasting (2012) (0)
Toward X13 ? (2003) (0)
Time Series: State Space Models (2015) (0)
Forecasting the Final Ranking in Competitions with a Premature Ending due to COVID-19 (2020) (0)
The Annals of Computational and Financial Econometrics, first issue (2012) (0)
On the evidence of a trend in the CO 2 airborne fraction (2023) (0)
Estimation of Business Cycles using Unobserved Components Models (2004) (0)
On the evidence of a trend in the CO2 airborne fraction (2023) (0)
Special cases of nonlinear and non-Gaussian models (2012) (0)
Dynamic Negative Binomial Di erence Model for High Frequency Returns ∗ PRELIMINARY AND INCOMPLETE (2015) (0)
Advances in Econometrics - Conference on Dynamic Factor Models (2015) (0)
State Space and Unobserved Component Models: Preface (2004) (0)
Time Series Econometrics: methods, computations and applications (2001) (0)
Modeling Time Varying Dependence In Multivariate Time SeriesWith Generalized Autoregressive Score Dynamics. (2014) (0)
Bayesian Risk Forecasting for Long Horizons (2019) (0)
Supplementary Appendix for “ Generalized Autoregressive Score Models with Applications ” (2011) (0)
Importance sampling for smoothing (2012) (0)
Fast Estimation of Parameters in State Space Models (1999) (0)
1.4 Ox Professional ™ 6 2 2. Regime Switching Models in (2009) (0)
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting (2017) (0)
Durbin, James [Jim] (1923-2012) (2015) (0)
Is there evidence of a trend in the CO2 airborne fraction? (2022) (0)
Periodic Unobserved Cycles in Seasonal Time Series with an Application to Us Unemployment (2006) (0)
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage Across European Cities (2014) (0)
Further computational aspects (2012) (0)
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States (2017) (0)
Web Appendix to Modeling global nancial sector stress and credit market dislocation (2013) (0)
Estimating Systematic Continuous-Time Trends in Recidivism Using a Non-Gaussian Panel Data Model (2007) (0)
Extending the Dynamic Nelson-Siegel Yield Curve Model (2010) (0)
STAMP 8 . 30 Batch and Ox code generator (2010) (0)
A Non-Gaussian Airline Model for Seasonal Adjustment (2003) (0)
Dynamic Factor Models (2016) (0)
STAMP 6.0 for Give Win (1999) (0)
Maximum Likelihood Estimation for Score-Driven Time Series Models (2020) (0)
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models (2015) (0)
Simulation-based estimation methods for the stochastic volatility model (2009) (0)
An Ox link to underlying C code (1998) (0)
Time-Varying Parameters in Econometrics: The editor’s foreword (2023) (0)
Introduction to Local Level Model and Kalman Filter (2011) (0)
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) (1997) (0)

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