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The PPP hypothesis revisited : evidence using a multivariate long-memory model
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013
Persistent link: https://www.econbiz.de/10009731975
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011
Persistent link: https://www.econbiz.de/10009720782
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Fast efficient importance sampling by state space methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
Persistent link: https://www.econbiz.de/10009722707
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A forty year assessment of forecasting the boat race
Mesters, Geert; Koopman, Siem Jan - 2012
Persistent link: https://www.econbiz.de/10009722947
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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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Multiple cyclical fractional structures in financial time series
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641950
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The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007
Persistent link: https://www.econbiz.de/10003644178