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Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
Jungbacker, Borus; Koopman, Siem - In: Econometric reviews 25 (2006) 2-3, pp. 385-408
Persistent link: https://www.econbiz.de/10007283039
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Empirical credit cycles and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 29 (2005) 12, pp. 3159-3180
Persistent link: https://www.econbiz.de/10005879740
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A non-Gaussian generalization of the Airline model for robust seasonal adjustment
Aston, John A.D.; Koopman, Siem Jan - In: Journal of forecasting 25 (2006) 5, pp. 325-350
Persistent link: https://www.econbiz.de/10007284958
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Exact Initial Kalman Eiltering anB Smoothing for Nonstationary Time Senes Models
Koopman, Siem Jan - In: Journal of the American Statistical Association : JASA 92 (1997) 440, pp. 1630-1638
Persistent link: https://www.econbiz.de/10006629766
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Forecasting Hourly Electricity Demand Using Time-Varying Splines
Harvey, Andrew; Koopman, Siem Jan - In: Journal of the American Statistical Association : JASA 88 (1993) 424, pp. 1228-1236
Persistent link: https://www.econbiz.de/10006638773
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb; Koopman, Siem Jan - In: Journal of econometrics 87 (1998) 2, pp. 271-302
Persistent link: https://www.econbiz.de/10006788102
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54
Persistent link: https://www.econbiz.de/10008160906
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Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of applied econometrics 25 (2010) 4, pp. 695-720
Persistent link: https://www.econbiz.de/10008412208
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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/10008214557
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The Modeling and Seasonal Adjustment of Weekly Observations
Harvey, Andrew; Koopman, Siem Jan; Riani, Marco - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10008219981