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~isPartOf:"CESifo working papers"
~isPartOf:"DIW Wochenbericht"
~isPartOf:"Information systems research : ISR"
~isPartOf:"Telecommunications policy : the international journal of digital economy, data sciences and new media"
~isPartOf:"Tinbergen Institute Discussion Paper"
~person:"Koopman, Siem Jan"
~subject:"USA"
~subject:"Zeitreihenanalyse"
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Search: ("Electronic commerce" OR "EU" OR "ICT" OR "Internet" OR "New economy") AND NOT isPartOf:Intereconomics
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USA
Zeitreihenanalyse
Theorie
22
Zustandsraummodell
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Kalman filter
17
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13
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11
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importance sampling
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credit risk
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Koopman, Siem Jan
van Dijk, Herman K.
15
Caporale, Guglielmo Maria
10
van Dijk, Dick
10
Lucas, Andre
9
Lucas, André
9
Bos, Charles S.
8
Gil-Alaña, Luis A.
8
Gautier, Pieter A.
7
Ooms, Marius
7
Teulings, Coen N.
7
Zimmermann, Klaus F.
7
Kemfert, Claudia
6
McAleer, Michael
6
Belitz, Heike
5
Cakmakli, Cem
5
Franses, Philip Hans
5
Paap, Richard
5
Brück, Tilman
4
Creal, Drew
4
Diks, Cees
4
Erber, Georg
4
Munandar, Haris
4
Nijkamp, Peter
4
Ravazzolo, Francesco
4
Schwaab, Bernd
4
Wittenberg, Erich
4
van Praag, Mirjam
4
Agarwal, Ritu
3
Bowen, Harry P.
3
Casarin, Roberto
3
Constant, Amelie
3
De Grauwe, Paul
3
Fritsche, Ulrich
3
Heer, Burkhard
3
Koopman, S.J.
3
Peichl, Andreas
3
Süssmuth, Bernd
3
Viaene, Jean-Marie
3
Werwatz, Axel
3
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CESifo working papers
DIW Wochenbericht
Information systems research : ISR
Telecommunications policy : the international journal of digital economy, data sciences and new media
Tinbergen Institute Discussion Paper
Discussion paper / Tinbergen Institute
11
DNB working paper
2
CPB discussion paper
1
De Nederlandsche Bank Working Paper
1
Economics letters
1
Global COE Hi-Stat discussion paper series
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Monographs of official statistics : papers and proceedings of the Third Eurostat Colloquium on Modern Tools for Business Cycle Analysis ; statistical methods and business cycle analysis of the Euro zone
1
NBB Working Paper
1
Oxford bulletin of economics and statistics
1
Tinbergen Institute Discussion Paper 16-029/III
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Systemic Risk Diagnostics
Schwaab, Bernd
;
Lucas, Andre
;
Koopman, Siem Jan
-
2010
-space methods, we model latent macro-financial and credit risk components for a large data setcomprising the U.S., the
EU
-27 area …
Persistent link: https://www.econbiz.de/10010325790
Saved in:
2
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
-
2012
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...
Persistent link: https://www.econbiz.de/10010326396
Saved in:
3
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Brauning, Falk
;
Koopman, Siem Jan
-
2012
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...
Persistent link: https://www.econbiz.de/10010326452
Saved in:
4
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
Koopman, Siem Jan
;
Lit, Rutger
-
2012
Attack and defense strengths of football teams vary over time due to changes in the teams of players or their managers. We develop a statistical model for the analysis and forecasting of football match results which are assumed to come from a bivariate Poisson distribution with intensity...
Persistent link: https://www.econbiz.de/10010326498
Saved in:
5
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Koopman, Siem Jan
;
Lucas, Andre
;
Scharth, Marcel
-
2012
We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have not been studied earlier in the literature. In...
Persistent link: https://www.econbiz.de/10010326198
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6
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia
Vujic, Suncica
;
Commandeur, Jacques
;
Koopman, Siem Jan
-
2012
We adopt a structural time series analysis to investigate the impact of parole abolition and sentence reform in Virginia on reported crime rates. The Commonwealth of Virginia abolished parole and reformed sentencing for all felony offences committed on or after January 1, 1995. To examine the...
Persistent link: https://www.econbiz.de/10010326293
Saved in:
7
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Mesters, Geert
;
Koopman, Siem Jan
;
Ooms, Marius
-
2011
An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...
Persistent link: https://www.econbiz.de/10010326501
Saved in:
8
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, Andre
-
2011
This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...
Persistent link: https://www.econbiz.de/10010325908
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9
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Koopman, Siem Jan
;
van der Wel, Michel
-
2011
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10010325954
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10
Measuring Synchronisation and Convergence of Business Cycles
Koopman, Siem Jan
;
e Azevedo, Joao Valle
-
2003
This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...
Persistent link: https://www.econbiz.de/10010325030
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