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