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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
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Bayesian dynamic modeling of high-frequency integer price changes
Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
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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
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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
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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