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A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10005209514

Long Memory Dynamics for Multivariate Dependence under Heavy Tails

Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2011

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...

Persistent link: https://www.econbiz.de/10009386532

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010

concerns the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we …

Persistent link: https://www.econbiz.de/10008838568

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …

Persistent link: https://www.econbiz.de/10005137026

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Institute - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10005144404

Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

Bos, Charles S.; Koopman, Siem Jan - Tinbergen Institute - 2010

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

Persistent link: https://www.econbiz.de/10008838615

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10008838634

Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10009369369

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 - Tinbergen Institute - 2007

This discussion paper has resulted in a publication in the A rated journal 'Journal of Business and Economic Statistics'.<p>

Persistent link: https://www.econbiz.de/10005016262

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - Tinbergen Institute

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10005016268