Browsing All of EconStor by Author Koopman, Siem Jan

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Year of Publication	Title	Author(s)
2000	Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility	Hol, Eugenie; Koopman, Siem Jan
2000	The Stochastic Volatility in Mean Model	Koopman, Siem Jan; Uspensky, Eugenie Hol
2001	Time Series Modelling of Daily Tax Revenues	Koopman, Siem Jan; Ooms, Marius
2002	Stock Index Volatility Forecasting with High Frequency Data	Hol, Eugenie; Koopman, Siem Jan
2002	Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation	Koopman, Siem Jan; Lucas, André; Klaassen, Pieter
2002	Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series	Koopman, Siem Jan; Bos, Charles S.
2003	Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices	Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius
2003	Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area	e Azevedo, Joao Valle; Koopman, Siem Jan; Rua, Antonio
2003	Convergence in European GDP Series	Luginbuhl, Rob; Koopman, Siem Jan
2003	Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence	Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André
2003	Measuring Synchronisation and Convergence of Business Cycles	Koopman, Siem Jan; e Azevedo, Joao Valle
2003	Business and Default Cycles for Credit Risk	Koopman, Siem Jan; Lucas, André
2003	Intervention Time Series Analysis of Crime Rates	Sridharan, Sanjeev; Vujic, Suncica; Koopman, Siem Jan
2004	Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements	Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie
2004	Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models	Koopman, Siem Jan; Ooms, Marius
2005	A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk	Koopman, Siem Jan; Lucas, André; Daniels, Robert
2005	On Importance Sampling for State Space Models	Jungbacker, Borus; Koopman, Siem Jan
2005	Model-based Measurement of Latent Risk in Time Series with Applications	Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; Koopman, Siem Jan
2005	The Multi-State Latent Factor Intensity Model for Credit Rating Transitions	Koopman, Siem Jan; Lucas, André; Monteiro, André
2005	Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices	Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles

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