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The dynamic Skellam model with applications
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...
Persistent link: https://www.econbiz.de/10010253460
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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10008938571
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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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The empirical economic growth literature
Florax, Raymond J. G. M.; Groot, Henri L. F. de; … - 2002
Persistent link: https://www.econbiz.de/10001663831
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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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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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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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Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
Persistent link: https://www.econbiz.de/10009722696
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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