Narrow search
Showing 1 - 10 of 108
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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 …
Persistent link: https://www.econbiz.de/10005137026
Cover Image
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
Cover Image
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
Cover Image
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002
considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters … related to the stochastic processes of the mean part and the variance part of the model. The estimation method is based on … maximum likelihood and it requires the subsequent uses of the Kalman filter to treat the mean part and sampling techniques to …
Persistent link: https://www.econbiz.de/10005209436
Cover Image
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Institute - 2007
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10005209535
Cover Image
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