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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - In: International journal of forecasting 37 (2021) 4, pp. 1426-1441

Persistent link: https://www.econbiz.de/10013274289

Trend-cycle decomposition models with smooth-transition parameters: Evidence from US economic time series

Koopman, Siem Jan; Lee, Kai Ming; Wong, Soon Yip - In: Nonlinear time series analysis of business cycles, (pp. 199-219). 2006

Persistent link: https://www.econbiz.de/10003312252

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003851230

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

Persistent link: https://www.econbiz.de/10003408454

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10003913191

Observation driven mixed-measurement dynamic factor models with an application to credit risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011

Persistent link: https://www.econbiz.de/10008907851

Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - In: Oxford bulletin of economics and statistics 71 (2009) 5, pp. 683-713

Persistent link: https://www.econbiz.de/10003875192

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003875669

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584

Persistent link: https://www.econbiz.de/10010513606

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 - 2007

In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...

Persistent link: https://www.econbiz.de/10011373825