Details about Siem Jan Koopman

Access statistics for papers by Siem Jan Koopman.

Last updated 2009-08-14. Update your information in the RePEc Author Service.

Short-id: pko46

Working Papers

2009

1. A General Framework for Observation Driven Time-Varying Parameter Models
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008)
2. Dynamic Factor Analysis in The Presence of Missing Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2008

3. An Hourly Periodic State Space Model for Modelling French National Electricity Load
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article in International Journal of Forecasting (2008)
4. Forecasting Cross-Sections of Frailty-Correlated Default
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
5. Likelihood Functions for State Space Models with Diffuse Initial Conditions
   Tinbergen Institute Discussion Papers, Tinbergen Institute
6. Likelihood-based Analysis for Dynamic Factor Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
7. Seasonality with Trend and Cycle Interactions in Unobserved Components Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article in Journal Of The Royal Statistical Society Series C (2009)
8. Spline Smoothing over Difficult Regions
   Tinbergen Institute Discussion Papers, Tinbergen Institute
9. The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
   Also in Working Papers, University of Washington, Department of Economics (2008) View citations

2007

10. Credit Cycles and Macro Fundamentals
    CFS Working Paper Series, Center for Financial Studies
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) View citations
    See also Journal Article in Journal of Empirical Finance (2009)
11. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Statistica Neerlandica (2008)
12. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)

2006

13. Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute
14. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2005

15. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    DNB Working Papers, Netherlands Central Bank, Research Department View citations
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2008)
16. Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute
17. Model-based Measurement of Actual Volatility in High-Frequency Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
18. Model-based Measurement of Latent Risk in Time Series with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal Of The Royal Statistical Society Series A (2008)
19. On Importance Sampling for State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
20. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Journal of the American Statistical Association (2007)

2004

21. Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Computational Statistics & Data Analysis (2006)
22. Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations
    See also Journal Article in Journal of Empirical Finance (2005)
23. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations

2003

24. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Journal of Applied Econometrics (2005)
25. Convergence in European GDP Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
26. Intervention Time Series Analysis of Crime Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute
27. Measuring Synchronisation and Convergence of Business Cycles
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
28. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
29. Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2002

30. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
31. Stock Index Volatility Forecasting with High Frequency Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
32. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
33. Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2001

34. An efficient and simple simulation smoother for state space time series analysis
    Computing in Economics and Finance 2001, Society for Computational Economics
35. Constructing seasonally adjusted data with time-varying confidence intervals
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2001) View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2002)
36. Time Series Modelling of Daily Tax Revenues
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations
    See also Journal Article in Statistica Neerlandica (2003)

2000

37. Computing Observation Weights for Signal Extraction and Filtering
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
38. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
39. The Stochastic Volatility in Mean Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute

1999

40. Fast Estimation of Parameters in State Space Models
    Computing in Economics and Finance 1999, Society for Computational Economics
41. Signal extraction and the formulation of unobserved components models
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Econometrics Journal (2000)

1998

42. Fast filtering and smoothing for multivariate state space models
    Discussion Paper, Tilburg University, Center for Economic Research View citations
43. Statistical algorithms for models in state space using ssfpack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Econometrics Journal (1999)
44. Time series analysis of non-gaussian observations based on state space models from both classical and bayesian perspectives
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Journal Of The Royal Statistical Society Series B (2000)

1997

45. Interaction between Supply and Demand Shocks in Production and Employment
    Tinbergen Institute Discussion Papers, Tinbergen Institute
46. Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1996

47. Interaction between supply and demand in production and employment
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
48. Maximum Likelihood Estimation of Stochastic Volatility Models
    FMG Discussion Papers, Financial Markets Group View citations

Undated

49. Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute

Journal Articles

2009

1. Credit cycles and macro fundamentals
   Journal of Empirical Finance, 2009, 16, (1), 42-54 View citations
   See also Working Paper (2007)
2. Seasonality with trend and cycle interactions in unobserved components models
   Journal Of The Royal Statistical Society Series C, 2009, 58, (4), 427-448
   See also Working Paper (2008)
3. Testing the assumptions behind importance sampling
   Journal of Econometrics, 2009, 149, (1), 2-11

2008

4. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
   Journal of Business & Economic Statistics, 2008, 26, 510-525
   See also Working Paper (2005)
5. An hourly periodic state space model for modelling French national electricity load
   International Journal of Forecasting, 2008, 24, (4), 566-587
   See also Working Paper (2008)
6. Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
   Statistica Neerlandica, 2008, 62, (1), 104-130
   See also Working Paper (2007)
7. Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US
   Oxford Bulletin of Economics and Statistics, 2008, 70, (1), 23-51 View citations
8. Model-based measurement of latent risk in time series with applications
   Journal Of The Royal Statistical Society Series A, 2008, 171, (1), 265-277
   See also Working Paper (2005)
9. The multi-state latent factor intensity model for credit rating transitions
   Journal of Econometrics, 2008, 142, (1), 399-424 View citations

2007

10. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225
11. Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
    Biometrika, 2007, 94, (4), 827-839 View citations
12. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 View citations
    See also Working Paper (2005)

2006

13. A non-Gaussian generalization of the Airline model for robust seasonal adjustment
    Journal of Forecasting, 2006, 25, (5), 325-349
14. Forecasting daily time series using periodic unobserved components time series models
    Computational Statistics & Data Analysis, 2006, 51, (2), 885-903
    See also Working Paper (2004)
15. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117
16. Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
    Journal of Business & Economic Statistics, 2006, 24, 278-290 View citations

2005

17. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations
    See also Working Paper (2003)
18. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations
19. Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
    Journal of Empirical Finance, 2005, 12, (3), 445-475 View citations
    See also Working Paper (2004)

2004

20. Convergence in European GDP series: a multivariate common converging trend-cycle decomposition
    Journal of Applied Econometrics, 2004, 19, (5), 611-636 View citations
21. Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1210-1210 View citations
22. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 View citations

2003

23. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 View citations
    See also Working Paper (2000)
24. Filtering and smoothing of state vector for diffuse state-space models
    Journal of Time Series Analysis, 2003, 24, (1), 85-98 View citations
25. Time Series Modelling of Daily Tax Revenues
    Statistica Neerlandica, 2003, 57, (4), 439-469
    See also Working Paper (2001)

2002

26. Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 509-26 View citations
    See also Working Paper (2001)
27. Discussion of 'MCMC-based inference' by R. Paap
    Statistica Neerlandica, 2002, 56, (1), 34-40
28. The stochastic volatility in mean model: empirical evidence from international stock markets
    Journal of Applied Econometrics, 2002, 17, (6), 667-689 View citations

2001

29. Interaction between structural and cyclical shocks in production and employment
    Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (2), 273-296

2000

30. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations
    See also Working Paper (1999)
31. Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
    Journal Of The Royal Statistical Society Series B, 2000, 62, (1), 3-56 View citations
    See also Working Paper (1998)

1999

32. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations
    See also Working Paper (1998)

1998

33. Estimation of stochastic volatility models via Monte Carlo maximum likelihood
    Journal of Econometrics, 1998, 87, (2), 271-301 View citations

1997

34. Detecting shocks: Outliers and breaks in time series
    Journal of Econometrics, 1997, 80, (2), 387-422 View citations
35. The Modeling and Seasonal Adjustment of Weekly Observations
    Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations

1992

36. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations