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Details about Marius Ooms

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Homepage:http://feweb.vu.nl/econometriclinks/ooms/index.html
Postal address:Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, De Boelelaan 1105, NL- 1081 HV Amsterdam
Workplace:Afdeling Econometrie and Operations Research (Department of Econometrics and Operations Research), School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

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Last updated 2017-06-11. Update your information in the RePEc Author Service.

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Working Papers

2011

  1. 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)

2010

  1. Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Applied Economics (2013)

2008

  1. An Hourly Periodic State Space Model for Modelling French National Electricity Load
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
    See also Journal Article in International Journal of Forecasting (2008)
  2. Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)

2007

  1. 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)
  2. 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. 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. Outlier Detection in GARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (24)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations (8)
  2. 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)

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. 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. Multimodality in the GARCH Regression Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (16)

2001

  1. Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
    See also Journal Article in Computational Statistics & Data Analysis (2003)
  2. Inflation, Forecast Intervals and Long Memory Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article in International Journal of Forecasting (2002)
  3. Multimodality and the GARCH Likelihood
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (8)
  4. 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)

1999

  1. Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)

1998

  1. A seasonal periodic long memory model for monthly river flows
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Long Memory and Level Shifts: Re-Analyzing Inflation Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998) Downloads

    See also Journal Article in Empirical Economics (1999)

1997

  1. Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1996

  1. A Note on the Effect of Seasonal Dummies on the Periodogram Regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1995

  1. Flexible Seasonal Long Memory and Economic Time Series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)

Journal Articles

2016

  1. 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)

2014

  1. Long memory with stochastic variance model: A recursive analysis for US inflation
    Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 Downloads View citations (5)

2013

  1. 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 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)

2011

  1. Statistical Software for State Space Methods
    Journal of Statistical Software, 2011, 041, (i01) Downloads View citations (13)

2010

  1. Exact maximum likelihood estimation for non-stationary periodic time series models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2641-2654 Downloads View citations (7)
  2. Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
    International Journal of Forecasting, 2010, 26, (4), 647-651 Downloads

2009

  1. 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)

2008

  1. An hourly periodic state space model for modelling French national electricity load
    International Journal of Forecasting, 2008, 24, (4), 566-587 Downloads View citations (21)
    See also Working Paper (2008)
  2. 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)
  3. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 Downloads View citations (17)

2007

  1. 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. Econometric software development: past, present and future
    Statistica Neerlandica, 2006, 60, (2), 206-224 Downloads View citations (4)
  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)

2004

  1. Generalizations of the KPSS-test for stationarity
    Statistica Neerlandica, 2004, 58, (4), 483-502 Downloads View citations (53)
  2. Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-25 Downloads View citations (20)

2003

  1. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 Downloads View citations (41)
    See also Working Paper (2001)
  2. 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. Inflation, forecast intervals and long memory regression models
    International Journal of Forecasting, 2002, 18, (2), 243-264 Downloads View citations (29)
    See also Working Paper (2001)

1999

  1. Forecasting long memory left-right political orientations
    International Journal of Forecasting, 1999, 15, (2), 185-199 Downloads View citations (5)
  2. Long memory and level shifts: Re-analyzing inflation rates
    Empirical Economics, 1999, 24, (3), 427-449 Downloads View citations (78)
    See also Working Paper (1998)
  3. Review of SsfPack 2.2: statistical algorithms for models in state space
    Econometrics Journal, 1999, 2, (1), 161-166 View citations (1)

1997

  1. A periodic long-memory model for quarterly UK inflation
    International Journal of Forecasting, 1997, 13, (1), 117-126 Downloads View citations (24)
  2. On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment
    Journal of Business & Economic Statistics, 1997, 15, (4), 470-81 View citations (8)
  3. On the effect of seasonal adjustment on the log-periodogram regression
    Economics Letters, 1997, 56, (2), 135-141 Downloads View citations (7)

Editor

  1. Econometrics Journal
    Royal Economic Society
  2. Econometrics Journal
    Royal Economic Society
 
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