Siem Jan Koopman

发表

Time Series Econometrics: methods, computations and applications

Charles S. Bos, Siem Jan Koopman, Ana Isabel De Lucas, 2001 .

Intradaily smoothing splines for time-varying regression models of hourly electricity loads

Siem Jan Koopman, Marius Ooms, V. Dordonnat, 2010 .

Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2.

Siem Jan Koopman, Jurgen A. Doornik, Andrew Harvey, 2009 .

Long memory with stochastic variance model: A recursive analysis for US inflation

Charles S. Bos, Siem Jan Koopman, Marius Ooms, 2014, Comput. Stat. Data Anal..

Time Series Analysis by State Space Methods

Siem Jan Koopman, James Durbin, J. Durbin, 2001 .

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Siem Jan Koopman, Francisco Blasques, Max Mallee, 2014 .

Approximate filtering and smoothing

Siem Jan Koopman, James Durbin, 2012 .

Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)

Siem Jan Koopman, Andrew Harvey, 1996 .

MESSY TIME SERIES: A UNIFIED APPROACH

Siem Jan Koopman, Andrew Harvey, Jeremy Penzer, 2009 .

Fast Filtering and Smoothing for Multivariate State Space Models

Siem Jan Koopman, James Durbin, J. Durbin, 2000 .

An Ox link to underlying C code

Siem Jan Koopman, Jurgen A. Doornik, Neil Shephard, 1998 .

Structural Time Series Models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2005 .

The Dynamic Skellam Model with Applications

Siem Jan Koopman, Rutger Lit, Andre Lucas, 2014 .

Exact maximum likelihood estimation for non-stationary periodic time series models

Siem Jan Koopman, Marius Ooms, Irma Hindrayanto, 2010, Comput. Stat. Data Anal..

Continuous Time State Space Modelling with an Application to High-Frequency Road Traffic Data

Siem Jan Koopman, Jacques J. F. Commandeur, Frits Bijleveld, 2018 .

Special Issue on Nonlinear Modelling and Financial Econometrics

Siem Jan Koopman, Christian Francq, Alessandra Amendola, 2006, Comput. Stat. Data Anal..

State Space and Unobserved Component Models

Siem Jan Koopman, Andrew Harvey, Neil Shephard, 2004 .

Multivariate non‐linear time series modelling of exposure and risk in road safety research

Siem Jan Koopman, Kees van Montfort, Jacques J. F. Commandeur, 2010 .

Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling

Siem Jan Koopman, Marius Ooms, Virginie Dordonnat, 2012, Comput. Stat. Data Anal..

Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility

Siem Jan Koopman, Borus Jungbacker, S. Koopman, 2009 .

Filtering and Smoothing of State Vector for Diffuse State-Space Models

Siem Jan Koopman, James Durbin, 2001 .

A simple and efficient simulation smoother for state space time series analysis

Siem Jan Koopman, James Durbin, J. Durbin, 2002 .

Filtering, smoothing and forecasting

Siem Jan Koopman, James Durbin, 2012 .

Dynamic Factor Analysis in the Presence of Missing Data

Siem Jan Koopman, M. van der Wel, Borus Jungbacker, 2009 .

Forecasting the Boat Race

Siem Jan Koopman, Geert Mesters, S. Koopman, 2015 .

Discussion of ‘MCMC‐based inference’ by R. Paap

Siem Jan Koopman, S. Koopman, S. J. Koopman, 2002 .

Time Series: State Space Models

Siem Jan Koopman, Jacques J. F. Commandeur, 2015 .

Statistical algorithms for models in state space form: SsfPack 3.0

Siem Jan Koopman, Jurgen A. Doornik, Neil Shephard, 2008 .

State Space Modeling

Siem Jan Koopman, Eric Zivot, J. Wang, 2002 .

Statistical Software for State Space Methods

Siem Jan Koopman, Marius Ooms, Jacques J. F. Commandeur, 2011 .

A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League

Vu, Siem Jan Koopman, Rutger Lit, 2012 .

State structure, decision making and related issues

Peter Whittle, Siem Jan Koopman, Andrew Harvey, 2004 .

Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

Siem Jan Koopman, James Durbin, J. Durbin, 1999 .

Mixed Measurement Dynamic Factor Models

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2010 .

The Annals of Computational and Financial Econometrics, first issue

Lynda Khalaf, Peter Winker, Achim Zeileis, 2012, Comput. Stat. Data Anal..

Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra

Siem Jan Koopman, Soon Yip Wong, S. Koopman, 2011 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Outliers and Switches in Time Series

Siem Jan Koopman, A. C. Atkinson, Neil Shephard, 1994 .

A Forty Year Assessment of Forecasting the Boat Race

Siem Jan Koopman, Geert Mesters, G. Mesters, 2012 .

Dynamic factors in state-space models for hourly electricity load signal decomposition and forecasting

Siem Jan Koopman, Marius Ooms, Virginie Dordonnat, 2009, 2009 IEEE Power & Energy Society General Meeting.

State Space and Unobserved Component Models: Theory and Applications

Siem Jan Koopman, Andrew Harvey, Neil Shephard, 2004 .

Likelihood�?Based Dynamic Factor Analysis for Measurement and Forecasting

Siem Jan Koopman, Borus Jungbacker, S. Koopman, 2015 .

Time Series: State Space Methods

Siem Jan Koopman, Jacques J. F. Commandeur, S. Koopman, 2015 .

Testing for Parameter Instability in Competing Modeling Frameworks

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2014 .

A time-varying parameter model for local explosions

Siem Jan Koopman, Francisco Blasques, Marc Nientker, 2021, Journal of Econometrics.

Maximum likelihood estimation for score-driven models

Siem Jan Koopman, Francisco Blasques, André Lucas, 2021, Journal of Econometrics.

Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data

Siem Jan Koopman, Francisco Blasques, Meindert Heres Hoogerkamp, 2021 .

Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects

Siem Jan Koopman, Paolo Gorgi, 2021, Journal of Econometrics.

Model‐based measurement of latent risk in time series with applications

Siem Jan Koopman, Jacques J. F. Commandeur, Frits Bijleveld, 2008 .

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Siem Jan Koopman, Andre Lucas, A. Lucas, 2005 .

Forecasting economic time series using unobserved components time series models

Siem Jan Koopman, Marius Ooms, S. Koopman, 2011 .

Sensitivity of large dengue epidemics in Ecuador to long-lead predictions of El Niño

Xavier Rodó, Siem Jan Koopman, Rachel Lowe, 2019, Climate Services.

Diagnostic checking and intra-daily effects in time series models

Siem Jan Koopman, S. Koopman, S. J. Koopman, 1992 .

Seasonality with Trend and Cycle Interactions in Unobserved Components Models

Siem Jan Koopman, Kai Ming Lee, 2009 .

Maximum likelihood estimation of parameters

Siem Jan Koopman, James Durbin, J. Durbin, 2012 .

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers

Siem Jan Koopman, Kai Ming Lee, 2004 .

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Siem Jan Koopman, Francisco Blasques, Andre Lucas, 2016 .

State Space Models With a Common Stochastic Variance

Charles S. Bos, Siem Jan Koopman, S. Koopman, 2004 .

Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model

Siem Jan Koopman, Rutger Lit, André Lucas, 2017 .

Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Siem Jan Koopman, Borus Jungbacker, S. Koopman, 2006 .

A non-Gaussian generalization of the Airline model for robust seasonal adjustment

Siem Jan Koopman, John A. D. Aston, J. Aston, 2006 .

Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

Siem Jan Koopman, André Lucas, S. Koopman, 2004 .

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Siem Jan Koopman, Michel van der Wel, Borus Jungbacker, 2009 .

Periodic Unobserved Component Time Series Models : estimation and forecasting with applications

Siem Jan Koopman, Marius Ooms, S. Koopman, 2002 .

Detecting shocks: Outliers and breaks in time series

Siem Jan Koopman, Neil Shephard, A. C. Atkinson, 1997 .

Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

Siem Jan Koopman, Andre Lucas, Bernd Schwaab, 2012 .

Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data

Zhaoyong Zhang, Siem Jan Koopman, Francisco Blasques, 2016 .

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Siem Jan Koopman, Francisco Blasques, Andre Lucas, 2014 .

Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates

Siem Jan Koopman, Andre Lucas, Bernd Schwaab, 2009 .

Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Siem Jan Koopman, Drew D. Creal, André Lucas, 2011, Review of Economics and Statistics.

Generalized Autoregressive Score Models

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2012 .

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Siem Jan Koopman, Drew D. Creal, André Lucas, 2010 .

Essays on Monte Carlo Methods for State Space Models

Siem Jan Koopman, Andre Lucas, Marcel Scharth, 2009 .

MESSY TIME SERIES

Siem Jan Koopman, Andrew Harvey, Jeremy Penzer, 1999 .

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing

Charles S. Bos, Siem Jan Koopman, Pawel Janus, 2009 .

Periodic Unobserved Cycles in Seasonal Time Series with an Application to Us Unemployment

Siem Jan Koopman, Marius Ooms, Irma Hindrayanto, 2006 .

Forecasting Macroeconomic Variables Using Collapsed Dynamic Factor Analysis

Siem Jan Koopman, Falk Bräuning, S. Koopman, 2012 .

Dynamic discrete copula models for high‐frequency stock price changes

Siem Jan Koopman, Rutger Lit, Anne Opschoor, 2018, Journal of Applied Econometrics.

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Siem Jan Koopman, André Lucas, S. Koopman, 2003 .

The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

Siem Jan Koopman, Marcel Scharth, S. Koopman, 2011 .

Unobserved Components and Time Series Econometrics

Siem Jan Koopman, Neil Shephard, 2015 .

The stochastic volatility in mean model: empirical evidence from international stock markets

Siem Jan Koopman, S. Koopman, E. Uspensky, 2002 .

Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

Siem Jan Koopman, Francisco Blasques, Andre Lucas, 2014 .

Modelling bid-ask spreads in competitive dealership markets

Siem Jan Koopman, Hung-Neng Lai, Hung-Neng Lai, 1998 .

Information-theoretic optimality of observation-driven time series models for continuous responses

Siem Jan Koopman, Francisco Blasques, Andre Lucas, 2015 .

State space modelling in macroeconomics and finance using SsfPack in S+Finmetrics

Siem Jan Koopman, Eric Zivot, Eric Zivot, 2004 .

Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements

Siem Jan Koopman, Borus Jungbacker, S. Koopman, 2005 .

Signal extraction and the formulation of unobserved components models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2000 .

Intraday Stock Price Dependence Using Dynamic Discrete Copula Distributions

Siem Jan Koopman, Rutger Lit, Andre Lucas, 2015 .

The modeling and seasonal adjustment of weekly observations

Siem Jan Koopman, Marco Riani, Andrew Harvey, 1997 .

Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

Siem Jan Koopman, Marius Ooms, M. Angeles Carnero, 2007 .

Tracking the Business Cycle of the Euro Area

Siem Jan Koopman, António Rua, S. Koopman, 2006 .

Testing the Assumptions Behind the use of Importance Sampling

Siem Jan Koopman, Neil Shephard, N. Shephard, 2002 .

Structural Time Series Models

Siem Jan Koopman, Andrew Harvey, A. Harvey, 2005 .

Business and Default Cycles for Credit Risk

Siem Jan Koopman, Andre Lucas, S. Koopman, 2003 .

Estimation of stochastic volatility models via Monte Carlo maximum likelihood

Siem Jan Koopman, S. Koopman, G. Sandmann, 1998 .