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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

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

Stationarity and ergodicity of univariate generalized autoregressive score processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012

Persistent link: https://www.econbiz.de/10009722625

Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

A forty year assessment of forecasting the boat race

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722947

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013

Persistent link: https://www.econbiz.de/10009724167

State space and unobserved component models : theory and applications

Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor); … - 2004 - 1. publ.

Persistent link: https://www.econbiz.de/10009681752

Inference with imperfect randomization : the case of the Perry Preschool program

Heckman, James J.; Pinto, Rodrigo; Shaikh, Azeem M.; … - 2011

This paper considers the problem of making inferences about the effects of a program on multiple outcomes when the assignment of treatment status is imperfectly randomized. By imperfect randomization we mean that treatment status is reassigned after an initial randomization on the basis of...

Persistent link: https://www.econbiz.de/10009235526

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

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

Persistent link: https://www.econbiz.de/10003973316