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The stochastic volatility on mean model : empirical evidence from international stock markets

Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000

Persistent link: https://www.econbiz.de/10001472890

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001792714

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

Persistent link: https://www.econbiz.de/10001792789

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003813787

A general framework for observation driven time-varying parameter models

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

Persistent link: https://www.econbiz.de/10003787160

A general framework for observation driven time-varying parameter models

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2009

Persistent link: https://www.econbiz.de/10003854422

A non-linear approach with long range dependence based on Chebyshev polynomials

Cuestas, Juan Carlos; Gil-Alaña, Luis A. - 2012

Persistent link: https://www.econbiz.de/10009529483

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

Koopman, Siem Jan; Scharth, Marcel - 2011

Persistent link: https://www.econbiz.de/10010191086

Long-term government debt, financial fragility and sovereign default risk

Kwaak, Christiaan van der; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191409

Time varying transition probabilities for Markov regime switching models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - 2014

We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the...

Persistent link: https://www.econbiz.de/10010362974