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person:"Lanne, Markku"
subject:"United States"
~person:"Bollerslev, Tim"
~person:"Koopman, Siem Jan"
~type_genre:"Article in journal"
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Lanne, Markku
Bollerslev, Tim
Koopman, Siem Jan
Gupta, Rangan
54
Bahmani-Oskooee, Mohsen
31
Gil-Alaña, Luis A.
31
Caporale, Guglielmo Maria
25
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21
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12
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11
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11
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9
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9
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9
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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3
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ECONIS (ZBW)
27
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1
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
2
A new time-varying parameter autoregressive model for U.S. inflation expectations
Lanne, Markku
;
Luoto, Jani
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
5
,
pp. 969-995
Persistent link: https://www.econbiz.de/10011946516
Saved in:
3
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
4
Noncausality and inflation persistence
Lanne, Markku
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 469-481
Persistent link: https://www.econbiz.de/10011339417
Saved in:
5
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
6
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
Saved in:
7
Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
Saved in:
8
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
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
9
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
10
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
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