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~isPartOf:"Applied financial economics"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~person:"Gupta, Rangan"
~person:"Koopman, Siem Jan"
~person:"Proietti, Tommaso"
~person:"Taylor, James W."
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Gupta, Rangan
Koopman, Siem Jan
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
3
Evaluating quantile-bounded and expectile-bounded interval forecasts
Taylor, James W.
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 800-811
Persistent link: https://www.econbiz.de/10012792870
Saved in:
4
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
5
Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
Saved in:
6
Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min
;
Taylor, James W.
;
Choo, Wei Chong
- In:
Economic modelling
93
(
2020
),
pp. 651-659
Persistent link: https://www.econbiz.de/10012430324
Saved in:
7
Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo
;
Proietti, Tommaso
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
Saved in:
8
Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng
;
Koopman, Siem Jan
;
Lit, Rutger
;
Petrova, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
Saved in:
9
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, Paolo
;
Koopman, Siem Jan
;
Li, Mengheng
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1735-1747
Persistent link: https://www.econbiz.de/10012305526
Saved in:
10
Forecasting football match results in national league competitions using score-driven time series models
Koopman, Siem Jan
;
Lit, Rutger
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 797-809
Persistent link: https://www.econbiz.de/10012300729
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