Browsing All of EconStor by Author Koopman, Siem Jan


Showing results 41 to 60 of 119
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Year of PublicationTitleAuthor(s)
2010Systemic Risk DiagnosticsSchwaab, Bernd; Lucas, Andre; Koopman, Siem Jan
2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor ModelKoopman, Siem Jan; van der Wel, Michel
2011The Analysis of Stochastic Volatility in the Presence of Daily Realised MeasuresKoopman, Siem Jan; Scharth, Marcel
2011Systemic risk diagnostics: coincident indicators and early warning signalsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit RiskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre
2011Long Memory Dynamics for Multivariate Dependence under Heavy TailsJanus, Pawel; Koopman, Siem Jan; Lucas, André
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat TailsZhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre
2011Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series ModelsMesters, Geert; Koopman, Siem Jan; Ooms, Marius
2011Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space ModelsKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2012Regime switches in the volatility and correlation of financial institutionsBoudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; Lucas, Andre
2012Fast Efficient Importance Sampling by State Space MethodsKoopman, Siem Jan; Nguyen, Thuy Minh
2012A Forty Year Assessment of Forecasting the Boat RaceMesters, Geert; Koopman, Siem Jan
2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven ModelsKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008Koopman, Siem Jan; Lucas, André; Schwaab, Bernd
2012A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier LeagueKoopman, Siem Jan; Lit, Rutger
2012Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and TimeMesters, Geert; Koopman, Siem Jan
2012Forecasting Interest Rates with Shifting Endpointsvan Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; Wright, Jonathan H.
2012Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in VirginiaVujic, Suncica; Commandeur, Jacques; Koopman, Siem Jan
2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor AnalysisBrauning, Falk; Koopman, Siem Jan