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Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001550571

Tracking growth and the business cycle : a stochastic common cycle model for the euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

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Spline smoothing over difficult regions : a state space approach

Koopman, Siem Jan; Wong, Soon Yip - 2008

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Dynamic factor analysis in the presence of missing data

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Productivity, welfare and reallocation : theory and firm evidence

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Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012

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The analysis of stochastic volatility in the presence of daily realised measures

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Measuring credit risk in a large banking system : econometric modeling and empirics

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Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975