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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
Persistent link: https://www.econbiz.de/10001718624
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Meta-analysis: A Tool for Upgrading Inputs of Macroeconomic Policy Models
Florax, Raymond J. G. M.; Groot, Henri L. F. de; Mooij, … - 2002
Persistent link: https://www.econbiz.de/10001663843
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Forecasting the variability of stock index returns with stochastic volatility models and implied volatility
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2000
Persistent link: https://www.econbiz.de/10001534834
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Fifty years of mincer earnings regressions
Heckman, James J. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760429
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001792714
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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
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Non-linearities and fractional integration in the US unemployment rate
Caporale, Guglielmo Maria (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001873870
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André (contributor) - 2001
Persistent link: https://www.econbiz.de/10001554549
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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