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Maximum likelihood estimation of stochastic volatility models

Sandmann, Gleb; Koopman, Siem Jan - 1996

Persistent link: https://www.econbiz.de/10000953379

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

Persistent link: https://www.econbiz.de/10003645182

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

Persistent link: https://www.econbiz.de/10003645204

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

Monte Carlo likelihood estimation for three multivariate stochastic volatility models

Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408

Persistent link: https://www.econbiz.de/10003355799

Parameter estimation and practical aspects of modeling stochastic volatility

Jungbacker, Borus; Koopman, Siem Jan - In: Handbook of financial time series, (pp. 313-344). 2009

Persistent link: https://www.econbiz.de/10003833957

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - In: International journal of forecasting 24 (2008) 4, pp. 566-587

Persistent link: https://www.econbiz.de/10003808308

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

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

Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....

Persistent link: https://www.econbiz.de/10011372520