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Details about Siem Jan Koopman

E-mail:
Homepage:http://personal.vu.nl/s.j.koopman
Phone:+31 20 598 6019
Postal address:Department of Econometrics, VU University Amsterdam, De Boelelaan 1105, NL-1081 HV Amsterdam, The Netherlands
Workplace:Afdeling Econometrie (Department of Econometrics), Faculteit der Economische Wetenschappen en Bedrijfskunde (Faculty of Economic Sciences, Business Administration and Econometrics), Vrije Universiteit (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Siem Jan Koopman.

Last updated 2016-11-13. Update your information in the RePEc Author Service.

Short-id: pko46


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Working Papers

2017

  1. Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
    NBP Working Papers, Narodowy Bank Polski, Economic Research Department Downloads

2016

  1. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
    Papers, arXiv.org Downloads
    Also in Working Papers, HAL (2016) Downloads
  4. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
  5. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Economics Letters (2016)
  7. Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (4)
  8. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  9. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  10. The information in systemic risk rankings
    Working Paper Series, European Central Bank Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (4)

    See also Journal Article in Journal of Empirical Finance (2016)

2015

  1. A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. Generalized Autoregressive Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  3. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in International Journal of Forecasting (2016)
  5. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  7. The Dynamic Skellam Model with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2014

  1. A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  2. Empirical Bayes Methods for Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  3. Fast Efficient Importance Sampling by State Space Methods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2014)
  5. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  6. Likelihood-based Analysis for Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  7. Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  8. Maximum Likelihood Estimation for Generalized Autoregressive Score Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (26)
  9. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  10. Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in DNB Working Papers, Netherlands Central Bank, Research Department (2014) Downloads
  11. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
  12. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    Also in Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2016)
  13. Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  14. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  15. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)

2013

  1. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (2)

    See also Journal Article in The Review of Economics and Statistics (2014)

2012

  1. A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series A (2015)
  2. A Forty Year Assessment of Forecasting the Boat Race
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank Downloads View citations (19)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
  4. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2014)
  5. Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in International Journal of Forecasting (2014)
  6. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2015)
  7. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (12)
    See also Journal Article in The Review of Economics and Statistics (2016)
  8. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (13)
  9. Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2011

  1. Dynamic Factor Analysis in The Presence of Missing Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2013)
  3. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2014)
  4. Maximum likelihood estimation for dynamic factor models with missing data
    Post-Print, HAL Downloads View citations (22)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  5. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  6. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2016)
  7. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (20)
  8. The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2012)

2010

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (16)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. Common business and housing market cycles in the Euro area from a multivariate decomposition
    Working papers, Banque de France Downloads View citations (9)
  3. Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  5. Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Applied Economics (2013)
  6. Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  7. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)

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 Downloads View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads View citations (3)
  2. Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Spot Variance Path Estimation and its Application to High Frequency Jump Testing
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2012)

2008

  1. An Hourly Periodic State Space Model for Modelling French National Electricity Load
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (20)
    See also Journal Article in International Journal of Forecasting (2008)
  2. Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
    Working Papers, University of Washington, Department of Economics Downloads
    See also Journal Article in Journal of Applied Econometrics (2010)
  3. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  4. Likelihood Functions for State Space Models with Diffuse Initial Conditions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Time Series Analysis (2010)
  5. Spline Smoothing over Difficult Regions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. 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 Downloads View citations (1)

2007

  1. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Statistica Neerlandica (2008)
  3. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (2)

2006

  1. Credit Cycles and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2009)
  2. Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2009)

2005

  1. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations (4)

    See also Journal Article in Journal of Business & Economic Statistics (2008)
  2. Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Model-based Measurement of Actual Volatility in High-Frequency Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Model-based Measurement of Latent Risk in Time Series with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series A (2008)
  5. On Importance Sampling for State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  6. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2007)
  7. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2008)

2004

  1. Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2006)
  2. Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (7)

    See also Journal Article in Journal of Empirical Finance (2005)
  3. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (14)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) Downloads View citations (9)

2003

  1. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. Convergence in European GDP Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  3. Intervention Time Series Analysis of Crime Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Measuring Synchronisation and Convergence of Business Cycles
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)
  5. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) Downloads

2002

  1. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Stock Index Volatility Forecasting with High Frequency Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  3. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
  4. Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2001

  1. An efficient and simple simulation smoother for state space time series analysis
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. Constructing seasonally adjusted data with time-varying confidence intervals
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2002)
  3. Time Series Modelling of Daily Tax Revenues
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (2)

    See also Journal Article in Statistica Neerlandica (2003)

2000

  1. Computing Observation Weights for Signal Extraction and Filtering
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  2. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. The Stochastic Volatility in Mean Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

1999

  1. Fast Estimation of Parameters in State Space Models
    Computing in Economics and Finance 1999, Society for Computational Economics
  2. Signal Extraction and the Formulation of Unobserved Components Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2000)

1998

  1. Fast Filtering and Smoothing for Multivariate State Space Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  2. Modelling bid-ask spreads in competitive dealership markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  3. Statistical Algorithms for Models in State Space Using SsfPack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (9)
    See also Journal Article in Econometrics Journal (1999)
  4. 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 Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2000)

1997

  1. Interaction between Supply and Demand Shocks in Production and Employment
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. 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

  1. Interaction between supply and demand in production and employment
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  2. Maximum Likelihood Estimation of Stochastic Volatility Models
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
  3. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1995

  1. The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1992

  1. Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Undated

  1. Seasonality with Trend and Cycle Interactions in Unobserved Components Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series C (2009)

Journal Articles

2016

  1. Forecasting and nowcasting economic growth in the euro area using factor models
    International Journal of Forecasting, 2016, 32, (4), 1284-1305 Downloads
  2. In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
    International Journal of Forecasting, 2016, 32, (3), 875-887 Downloads
    See also Working Paper (2015)
  3. Intervention time series analysis of crime rates: The case of sentence reform in Virginia
    Economic Modelling, 2016, 57, (C), 311-323 Downloads
  4. Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area
    Economics Letters, 2016, 145, (C), 83-87 Downloads View citations (2)
    See also Working Paper (2016)
  5. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
    Econometric Reviews, 2016, 35, (4), 659-687 Downloads
    See also Working Paper (2011)
  6. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    The Review of Economics and Statistics, 2016, 98, (1), 97-110 Downloads View citations (6)
    See also Working Paper (2012)
  7. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 Downloads View citations (3)
    See also Working Paper (2014)
  8. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 Downloads View citations (2)
    See also Working Paper (2016)
  9. Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 405-417 Downloads

2015

  1. A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 167-186 Downloads View citations (4)
    See also Working Paper (2012)
  2. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 Downloads View citations (18)
  3. Likelihood‐based dynamic factor analysis for measurement and forecasting
    Econometrics Journal, 2015, 18, (2), C1-C21 Downloads View citations (9)
  4. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
    Journal of Business & Economic Statistics, 2015, 33, (1), 114-127 Downloads View citations (10)
    See also Working Paper (2012)

2014

  1. Forecasting interest rates with shifting endpoints
    Journal of Applied Econometrics, 2014, 29, (5), 693-712 Downloads View citations (6)
    See also Working Paper (2012)
  2. Forecasting macroeconomic variables using collapsed dynamic factor analysis
    International Journal of Forecasting, 2014, 30, (3), 572-584 Downloads View citations (16)
    See also Working Paper (2012)
  3. Generalized dynamic panel data models with random effects for cross-section and time
    Journal of Econometrics, 2014, 180, (2), 127-140 Downloads View citations (10)
    See also Working Paper (2014)
  4. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 Downloads View citations (12)
    See also Working Paper (2011)
  5. Long memory with stochastic variance model: A recursive analysis for US inflation
    Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 Downloads View citations (4)
  6. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 Downloads View citations (3)
  7. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 Downloads View citations (21)
    See also Working Paper (2013)
  8. SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
    Journal of Applied Econometrics, 2014, 29, (1), 65-90 Downloads View citations (3)

2013

  1. Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
    International Journal of Forecasting, 2013, 29, (4), 676-694 Downloads View citations (5)
    See also Working Paper (2011)
  2. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 Downloads View citations (127)
  3. Modelling trigonometric seasonal components for monthly economic time series
    Applied Economics, 2013, 45, (21), 3024-3034 Downloads View citations (1)
    See also Working Paper (2010)

2012

  1. Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
    Journal of Business & Economic Statistics, 2012, 30, (4), 521-532 Downloads View citations (18)
    See also Working Paper (2012)
  2. Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
    Computational Statistics & Data Analysis, 2012, 56, (11), 3134-3152 Downloads View citations (3)
  3. Economic Trends and Cycles in Crime: A Study for England and Wales
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2012, 232, (6), 652-677 Downloads View citations (1)
  4. Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
    Journal of Financial Econometrics, 2012, 10, (2), 354-389 Downloads View citations (6)
    See also Working Paper (2009)
  5. The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
    Journal of Financial Econometrics, 2012, 11, (1), 76-115 Downloads View citations (20)
    See also Working Paper (2011)

2011

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 Downloads View citations (53)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 (2011) Downloads View citations (67)

    See also Working Paper (2010)
  2. Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
    Journal of Forecasting, 2011, 30, (1), 147-167 Downloads View citations (1)
  3. Maximum likelihood estimation for dynamic factor models with missing data
    Journal of Economic Dynamics and Control, 2011, 35, (8), 1358-1368 Downloads View citations (22)
    See also Working Paper (2011)
  4. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (31)
  5. Statistical Software for State Space Methods
    Journal of Statistical Software, 2011, 041, (i01) Downloads View citations (13)

2010

  1. Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
    Journal of Business & Economic Statistics, 2010, 28, (3), 329-343 Downloads View citations (35)
  2. Exact maximum likelihood estimation for non-stationary periodic time series models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2641-2654 Downloads View citations (7)
  3. Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
    International Journal of Forecasting, 2010, 26, (4), 647-651 Downloads
  4. Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
    Journal of Applied Econometrics, 2010, 25, (4), 695-719 Downloads View citations (2)
    See also Working Paper (2008)
  5. Likelihood functions for state space models with diffuse initial conditions
    Journal of Time Series Analysis, 2010, 31, (6), 407-414 Downloads View citations (7)
    See also Working Paper (2008)
  6. Multivariate non-linear time series modelling of exposure and risk in road safety research
    Journal of the Royal Statistical Society Series C, 2010, 59, (1), 145-161 Downloads View citations (2)

2009

  1. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 Downloads View citations (34)
    See also Working Paper (2006)
  2. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
    Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 683-713 Downloads View citations (4)
    See also Working Paper (2006)
  3. Seasonality with trend and cycle interactions in unobserved components models
    Journal of the Royal Statistical Society Series C, 2009, 58, (4), 427-448 Downloads View citations (3)
    See also Working Paper
  4. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 Downloads View citations (20)

2008

  1. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Journal of Business & Economic Statistics, 2008, 26, 510-525 Downloads View citations (10)
    See also Working Paper (2005)
  2. An hourly periodic state space model for modelling French national electricity load
    International Journal of Forecasting, 2008, 24, (4), 566-587 Downloads View citations (20)
    See also Working Paper (2008)
  3. Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 Downloads View citations (4)
    See also Working Paper (2007)
  4. 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 Downloads View citations (27)
  5. Model-based measurement of latent risk in time series with applications
    Journal of the Royal Statistical Society Series A, 2008, 171, (1), 265-277 Downloads View citations (2)
    See also Working Paper (2005)
  6. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 Downloads View citations (44)
    See also Working Paper (2005)

2007

  1. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225 Downloads View citations (28)
  2. Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
    Biometrika, 2007, 94, (4), 827-839 Downloads View citations (19)
  3. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 Downloads View citations (83)
    See also Working Paper (2005)

2006

  1. A non-Gaussian generalization of the Airline model for robust seasonal adjustment
    Journal of Forecasting, 2006, 25, (5), 325-349 Downloads View citations (2)
  2. Forecasting daily time series using periodic unobserved components time series models
    Computational Statistics & Data Analysis, 2006, 51, (2), 885-903 Downloads View citations (7)
    See also Working Paper (2004)
  3. Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
    Econometric Reviews, 2006, 25, (2-3), 385-408 Downloads View citations (9)
  4. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 Downloads View citations (1)
  5. Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
    Journal of Business & Economic Statistics, 2006, 24, 278-290 Downloads View citations (37)

2005

  1. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 Downloads View citations (64)
    See also Working Paper (2003)
  2. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 Downloads View citations (34)
  3. 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 Downloads View citations (119)
    See also Working Paper (2004)

2004

  1. Convergence in European GDP series: a multivariate common converging trend-cycle decomposition
    Journal of Applied Econometrics, 2004, 19, (5), 611-636 Downloads View citations (29)
  2. Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-17 Downloads View citations (8)
  3. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 Downloads View citations (11)

2003

  1. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 Downloads View citations (40)
    See also Working Paper (2000)
  2. Filtering and smoothing of state vector for diffuse state-space models
    Journal of Time Series Analysis, 2003, 24, (1), 85-98 Downloads View citations (20)
  3. Time Series Modelling of Daily Tax Revenues
    Statistica Neerlandica, 2003, 57, (4), 439-469 Downloads View citations (4)
    See also Working Paper (2001)

2002

  1. Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 509-26 Downloads View citations (3)
    See also Working Paper (2001)
  2. Discussion of 'MCMC-based inference' by R. Paap
    Statistica Neerlandica, 2002, 56, (1), 34-40 Downloads
  3. The stochastic volatility in mean model: empirical evidence from international stock markets
    Journal of Applied Econometrics, 2002, 17, (6), 667-689 Downloads View citations (46)

2001

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

2000

  1. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations (45)
    See also Working Paper (1999)
  2. 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 Downloads View citations (64)
    See also Working Paper (1998)

1999

  1. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (174)
    See also Working Paper (1998)

1998

  1. Estimation of stochastic volatility models via Monte Carlo maximum likelihood
    Journal of Econometrics, 1998, 87, (2), 271-301 Downloads View citations (101)

1997

  1. Detecting shocks: Outliers and breaks in time series
    Journal of Econometrics, 1997, 80, (2), 387-422 Downloads View citations (15)
  2. The Modeling and Seasonal Adjustment of Weekly Observations
    Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations (27)

1992

  1. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations (105)

Books

2012

  1. Time Series Analysis by State Space Methods
    OUP Catalogue, Oxford University Press View citations (137)
    Also in OUP Catalogue, Oxford University Press (2001) View citations (459)

2007

  1. An Introduction to State Space Time Series Analysis
    OUP Catalogue, Oxford University Press View citations (39)

Edited books

2015

  1. Unobserved Components and Time Series Econometrics
    OUP Catalogue, Oxford University Press

2012

  1. State Space and Unobserved Component Models
    Cambridge Books, Cambridge University Press

2004

  1. State Space and Unobserved Component Models
    Cambridge Books, Cambridge University Press View citations (3)
 
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