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Spline smoothing over difficult regions : a state space approach
Koopman, Siem Jan; Wong, Soon Yip - 2008
Persistent link: https://www.econbiz.de/10003811428
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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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Models with time-varying mean and variance : a robust analysis of US industrial production
Bos, Charles S.; Koopman, Siem Jan - 2010
Persistent link: https://www.econbiz.de/10003973299
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
Persistent link: https://www.econbiz.de/10003973316
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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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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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Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963304