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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
Persistent link: https://www.econbiz.de/10003645197
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
Persistent link: https://www.econbiz.de/10003645204
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Seasonality with trend and cycle interactions in unobserved components models
Koopman, Siem Jan; Lee, Kai Ming - 2008
Persistent link: https://www.econbiz.de/10003706010
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Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008
Persistent link: https://www.econbiz.de/10003706020
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Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739803
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A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428263
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Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428295
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Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428302
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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
Persistent link: https://www.econbiz.de/10003609242
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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - 2005
Persistent link: https://www.econbiz.de/10002983309