Similar Search Results

Measuring synchronisation and convergence of business cycles

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

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

Persistent link: https://www.econbiz.de/10011333890

Intervention time series analysis of crime rates

Sridharan, Sanjeev; Vujić, Sunčica; Koopman, Siem Jan - 2003

The Commonwealth of Virginia abolished parole and reformed sentencing for all felony of-fenders committed on or after January 1, 1995. We examine the impact of this legislationon reported crime rates using different time series approaches. In particular, structuraltime series models are...

Persistent link: https://www.econbiz.de/10011333897

The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of trade. Trade levels increase over time, and we show that this is not fully explained by the included regressors. Because the euro is only present at the end of the sample, this may...

Persistent link: https://www.econbiz.de/10011334328

Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements

Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the...

Persistent link: https://www.econbiz.de/10011334848

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...

Persistent link: https://www.econbiz.de/10011295703

Intraday stochastic volatility in discrete price changes : the dynamic Skellam model

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015

We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete stock price changes. The likelihood function for our model is analytically intractable and requires Monte Carlo integration methods for its numerical evaluation. The proposed...

Persistent link: https://www.econbiz.de/10011295740

The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model

Gorgi, P.; Koopman, Siem Jan; Lit, R. - 2018

We propose a basic high-dimensional dynamic model for tennis match results with time varying player-specific abilities for different court surface types. Our statistical model can be treated in a likelihood-based analysis and is capable of handling high-dimensional datasets while the number of...

Persistent link: https://www.econbiz.de/10011794344

Forecasting economic time series using score-driven dynamic models with mixeddata sampling

Gorgi, Paolo; Koopman, Siem Jan; Li, Mengheng - 2018

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for...

Persistent link: https://www.econbiz.de/10011809978

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10011809984

A minimal moral hazard central stabilisation capacity for the EMU based on world trade

Beetsma, Roel; Cima, Simone; Cimadomo, Jacopo - 2018

, because the transfers are based on changes in world trade in the various sectors. These changes can be considered as largely … manipulation. Our scheme works as follows: if a sector is hit by a bad shock at the world market level, then a country with an … addition, since transfers are based on temporary changes in world trade, the danger of permanent transfers from one set of …

Persistent link: https://www.econbiz.de/10011810026