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subject:"United States"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~subject:"Correlation"
~subject:"Multivariate Analyse"
~subject:"Volatilität"
~subject:"Zustandsraummodell"
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United States
Correlation
Multivariate Analyse
Volatilität
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Estimation
22
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22
Time series analysis
14
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14
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8
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6
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18
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Koopman, Siem Jan
Gupta, Rangan
96
Bahmani-Oskooee, Mohsen
53
Gil-Alaña, Luis A.
48
Tiwari, Aviral Kumar
45
Wohar, Mark E.
43
Caporale, Guglielmo Maria
39
Bollerslev, Tim
28
Pierdzioch, Christian
28
Ma, Feng
27
Balcilar, Mehmet
26
Bouri, Elie
26
Xuan Vinh Vo
26
McAleer, Michael
25
Todorov, Viktor
25
Apergēs, Nikolaos
24
Kumar, Dilip
21
McMillan, David G.
21
Brooks, Robert
19
Mensi, Walid
19
Hammoudeh, Shawkat
18
Hsing, Yu
18
Kang, Sang Hoon
18
Payne, James E.
17
Yoon, Seong-min
17
Hegerty, Scott W.
16
Jawadi, Fredj
16
Serletis, Apostolos
16
Tauchen, George Eugene
16
Asai, Manabu
15
Belke, Ansgar
15
Caporin, Massimiliano
15
Heckman, James J.
15
Rashid, Abdul
15
Andersen, Torben
14
Chang, Tsangyao
14
Chiang, Thomas C.
14
Fabozzi, Frank J.
14
Lee, Chien-chiang
14
Li, Jia
14
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International journal of forecasting
3
Econometric reviews
2
Journal of applied econometrics
2
Journal of econometrics
2
Oxford bulletin of economics and statistics
2
Economics letters
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The review of economics and statistics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
1
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ECONIS (ZBW)
18
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18
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1
Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
- In:
Econometric reviews
43
(
2024
)
8
,
pp. 638-670
Persistent link: https://www.econbiz.de/10015050635
Saved in:
2
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:
3
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
4
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
5
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:
6
Forecasting and nowcasting economic growth in the euro area using factor models
Hindrayanto, Irma
;
Koopman, Siem Jan
;
Winter, Jasper de
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1284-1305
Persistent link: https://www.econbiz.de/10011622152
Saved in:
7
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
8
Discussion of "Forecasting macroeconomic variables using collapsed dynamic factor analysis" by Falk Bräuning and Siem Jan Koopman
Mitchell, James
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 585-588
Persistent link: https://www.econbiz.de/10010513602
Saved in:
9
Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk
;
Koopman, Siem Jan
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
Saved in:
10
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
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