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Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
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Messy time series : a unified approach
Harvey, Andrew C.; Koopman, Siem Jan; Penzer, Jeremy - 1997
Persistent link: https://www.econbiz.de/10000960677
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Interaction between supply and demand shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - 1997
Persistent link: https://www.econbiz.de/10000961559
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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
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
Persistent link: https://www.econbiz.de/10003645197
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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
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
Persistent link: https://www.econbiz.de/10003739126
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Periodic seasonal Reg-AFRIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005
Persistent link: https://www.econbiz.de/10003155845
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Forecasting daily time series using periodic unobserved components time series models
Koopman, Siem Jan; Ooms, Marius - 2004
Persistent link: https://www.econbiz.de/10002503685
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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