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Details about Siem Jan Koopman

E-mail:
Homepage:http://staff.feweb.vu.nl/koopman
Phone:+31 20 598 6019
Postal address:Department of Econometrics, Free 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)

Access statistics for papers by Siem Jan Koopman.

Last updated 2009-01-03. Update your information in the RePEc Author Service.

Short-id: pko46


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Working Papers

2008

  1. An Hourly Periodic State Space Model for Modelling French National Electricity Load
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
  3. Likelihood Functions for State Space Models with Diffuse Initial Conditions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Likelihood-based Analysis for Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
  5. Seasonality with Trend and Cycle Interactions in Unobserved Components Models
    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
    Also in
    Working Papers, University of Washington, Department of Economics (2008) Downloads

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. Credit Cycles and Macro Fundamentals
    CFS Working Paper Series, Center for Financial Studies Downloads
    Also in
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) Downloads View citations
  3. 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)
  4. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) Downloads

2006

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

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
    Also in
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations
  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 View citations
  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
  6. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
    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
    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
    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)
  3. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations
    Also in
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) Downloads View citations

2003

  1. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
    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. 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
  5. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
  6. Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations

2002

  1. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
  2. Stock Index Volatility Forecasting with High Frequency Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations
  3. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations
  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 Report, Erasmus University Rotterdam, 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

    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 View citations
  3. The Stochastic Volatility in Mean Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

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
    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
  2. Statistical algorithms for models in state space using ssfpack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations
    See Also Journal Article in Econometrics Journal (1999)
  3. 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
    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

Journal Articles

2008

  1. Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 Downloads
    See Also Working Paper (2007)
  2. 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
  3. 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
    See Also Working Paper (2005)
  4. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 Downloads View citations
    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
  2. Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
    Biometrika, 2007, 94, (4), 827-839 Downloads
  3. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 Downloads View citations
    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
  2. Forecasting daily time series using periodic unobserved components time series models
    Computational Statistics & Data Analysis, 2006, 51, (2), 885-903 Downloads
    See Also Working Paper (2004)
  3. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 Downloads
  4. 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

2005

  1. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 Downloads View citations
    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
  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
    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
  2. Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1210-1210 Downloads View citations
  3. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 Downloads View citations

2003

  1. Computing observation weights for signal extraction and filtering
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 Downloads View citations
    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
  3. Time Series Modelling of Daily Tax Revenues
    Statistica Neerlandica, 2003, 57, (4), 439-469 Downloads
    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
    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

2001

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

2000

  1. Signal extraction and the formulation of unobserved components models
    Econometrics Journal, 2000, 3, (1), 84-107 View citations
    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
    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
    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

1997

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

1992

  1. Diagnostic Checking of Unobserved-Components Time Series Models
    Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations
 
 
Page updated 2009-01-07