Diagnostic checking and intra-daily effects in time series models / by Siem Jan KoopmanFast filtering and smoothing for multivariate state space models / by S.J. Koopman and J. DurbinFast filtering and smoothing for multivariate state space models / by S.J. Koopman and J. DurbinModelling bid-ask spreads in competitive dealership markets / by Siem Jan Koopman and Hung Neng LaiStatistical algorithms for models in state space using SsfPack 2.2 / by Siem Jan Koopman, Neil Shephard, Jurgen A. DoornikStatistical algorithms for models in state space using SsfPack 2.2 / by Siem Jan Koopman, Neil Shephard, Jurgen A. DoornikThe stochastic volatility in mean model : empirical evidence from international stock markets / Siem Jan Koopman, Eugenie Hol UspenskyMet het Kalman filter vooruit / S.J. KoopmanThe stochastic volatility in mean model : empirical evidence from international stock markets / Siem Jan Koopman and Eugenie Hol UspenskyConstructing seasonally adjusted data with time-varying confidence intervals / Siem Jan Koopman, Philip Hans FransesTime series modelling of daily tax revenues / Siem Jan Koopman, Marius OomsConstructing seasonally adjusted data with time-varying confidence intervals / Siem Jan Koopman & Philip Hans FransesPro-cyclicality, empirical credit cycles, and capital buffer formation / Siem Jan Koopman, André Lucas, Pieter KlaassenPro-cyclicality, empirical credit cycles, and capital buffer formation / Siem Jan Koopman, André Lucas, Pieter KlaassenTime series models with a common stochastic variance for analysing economic time series / Siem Jan Koopman, Charles S. BosTime series models with a common stochastic variance for analysing economic time series / Siem Jan Koopman, Charles S. BosMeasuring synchronisation and convergence of business cycles / Siem Jan Koopman and João Valle e AzevedoMeasuring synchronisation and convergence of business cycles / Siem Jan Koopman, João Valle e AzevedoBusiness and default cycles for credit risk / Siem Jan Koopman, André LucasBusiness and default cycles for credit risk / Siem Jan Koopman, André LucasForecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements / Siem Jan Koopman, Borus Jungbacker, Eugenie HolForecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements / Siem Jan Koopman, Borus Jungbacker, Eugenie HolForecasting daily time series using periodic unobserved components time series models / Siem Jan Koopman, Marius OomsForecasting daily time series using periodic unobserved components time series models / Siem Jan Koopman, Marius OomsA non-Gaussian panel time series model for estimating and decomposing default risk / Siem Jan Koopman, André Lucas, Robert DanielsThe multi-state latent factor intensity model for credit rating transitions / Siem Jan Koopman, André Lucas, André MonteiroA non-gaussian panel time series model for estimating and decomposing default risk / Siem Jan Koopman, André Lucas, Robert DanielsThe multi-state latent factor intensity model for credit rating transitions / Siem Jan Koopman, André Lucas, André MonteiroMeasuring asymmetric stochastic cycle components in U.S. macroeconomic time series / Siem Jan Koopman, Kai Ming LeeMeasuring asymmetric stochastic cycle components in U.S. macroeconomic time series / Siem Jan Koopman, Kai Ming LeePeriodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices / Siem Jan Koopman, Marius Ooms, M. Angeles CarneroPeriodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices / Siem Jan Koopman, Marius Ooms, M. Angeles CarneroPeriodic unobserved cycles in seasonal time series with an application to US unemployment / Siem Jan Koopman, Marius Ooms, Irma HindrayantoExtracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series / Siem Jan Koopman, Soon Yip WongPeriodic unobserved cycles in seasonal time series with an application to US unemployment / Siem Jan Koopman, Marius Ooms, Irma HindrayantoExtracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series / Siem Jan Koopman, Soon Yip WongAnalyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters / Siem-Jan Koopman, Max I.P. Mallee, Michel van der WelAnalyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters / Siem Jan Koopman, Max I.P. Mallee, Michel van der WelSeasonality with trend and cycle interactions in unobserved components models / Siem Jan Koopman, Kai Ming LeeForecasting cross-sections of frailty-correlated default / Siem Jan Koopman, André Lucas, Bernd Schwaab
author
Diagnostic checking of unobserved components time series models / Andrew Harvey, Siem-Jan KoopmanDetecting shocks : outliers and breaks in time series / A.C. Atkinson, S.J. Kooiman [i.e. Koopman], N. ShephardThe liquidity effect of monetary policy : a signal extraction approach / Camiel de Koning, Siem Jan KoopmanInteraction between supply and demand shocks in production and employment / F.A.G. den Butter, S.J. KoopmanInteraction between supply and demand shocks in production and employment / F.A.G. den Butter, S.J. KoopmanInteraction between supply and demand shocks in production and employment / by F.A.G. den Butter and S.J. KoopmanTime series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / by J. Durbin and S.J. KoopmanTime series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / by J. Durbin and S.J. KoopmanSignal extraction and the formulation of unobserved components models / by Andrew Harvey and Siem Jan KoopmanSignal extraction and the formulation of unobserved components models / by Andrew Harvey and Siem Jan KoopmanForecasting the variability of stock index returns with stochastic volatility models and implied volatility / Eugenie Hol, Siem Jan KoopmanForecasting the variability of stock index returns with stochastic volatility models and implied volatility / Eugenie Hol and Siem Jan KoopmanStock index volatility forecasting with high frequency data / Eugenie Hol and Siem Jan KoopmanStock index volatility forecasting with high frequency data / Eugenie Hol, Siem Jan KoopmanConvergence in European GDP series : a multivariate common converging trend-cycle decomposition / Rob Luginbuhl and Siem Jan KoopmanConvergence in European GDP series : a multivariate common converging trend-cycle decomposition / Rob Luginbuhl, Siem Jan KoopmanRound-the-clock price discovery for cross-listed stocks : U.S.-Dutch evidence / Albert J. Menkveld, Siem Jan Koopman, André LucasIntervention time series analysis of crime rates / Sanjeev Sridharan, Sunčica Vujic, Siem Jan KoopmanIntervention time series analysis of crime rates : the impact of sentence reforms in Virginia / Sanjeev Sridharan, Sunčica Vujić, Siem Jan KoopmanRound-the-clock price discovery for cross-listed stocks : U.S.-Dutch evidence / Albert J. Menkveld, Siem Jan Koopman, André LucasTracking growth and the business cycle / Joô Valle e Azevedo, Siem Jan Koopman, António RuaTracking growth and the business cycle : a stochastic common cycle model for the euro area / João Valle e Azevedo, Siem Jan Koopman, António RuaPeriodic heteroskedastic RegARFIMA models for daily electricity spot prices / M. Angeles Carnero, Siem Jan Koopman, Marius OomsPeriodic heteroskedastic RegARFIMA models for daily electricity spot prices / M. Angeles Carnero, Siem Jan Koopman, Marius OomsModel-based measurement of actual volatility in high-frequency data / B. Jungbacker, S.J. KoopmanModel-based measurement of actual volatility in high-frequency data / B. Jungbacker and S.J. KoopmanOn importance sampling for state space models / Borus Jungbacker, Siem Jan KoopmanOn importance sampling for state space models / Borus Jungbacker, Siem Jan KoopmanCredit cycles and macro fundamentals / Siem Jan Koopman ... [et al.]Credit cycles and macro fundamentals / Siem Jan Koopman ... [et al.]Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model / Siem Jan Koopman ... [et al.]Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model / Siem Jan Koopman ... [et al.]Long memory modelling of inflation with stochastic variance and structural breaks / Charles S. Bos, Siem Jan Koopman, Marius OomsLikelihood-based analysis for dynamic factor models / Borus Jungbacker, Siem Jan KoopmanLong memory modelling of inflation with stochastic variance and structural breaks / Charles S. Bos, Siem Jan Koopman, Marius OomsLikelihood-based analysis for dynamic factor models / Borus Jungbacker, Siem Jan KoopmanLikelihood functions for state space models with diffuse initial conditions / Marc K. Francke, Siem Jan Koopman, Aart F. de VosLikelihood functions for state space models with diffuse initial conditions / Marc K. Francke, Siem Jan Koopman, Aart F. de VosThe effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model / Drew Creal, Siem Jan Koopman, Eric ZivotThe effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model / Drew Creal, Siem Jan Koopman, Eric Zivot