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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
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Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
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Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
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Diagnostic checking of unobserved-components time series models
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 4, pp. 377-389
Persistent link: https://www.econbiz.de/10001132725
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The modeling and seasonal adjustment of weekly observations
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10001222712
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State space models with a common stochastic variance
Koopman, Siem Jan; Bos, Charles S. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 346-357
Persistent link: https://www.econbiz.de/10002135515
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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 329-343
Persistent link: https://www.econbiz.de/10008736215
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Tracking the business cycle of the Euro area : a multivariate model-based bandpass filter
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 278-290
Persistent link: https://www.econbiz.de/10003349341