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Measuring asymmetric stochastic cycle components in US macroeconomic time series
Koopman, Siem Jan; Lee, Kai Ming - 2005
Persistent link: https://www.econbiz.de/10003115944
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Estimating stochastic volatility models : a comparison of two importance samplers
Lee, Kai Ming (contributor); Koopman, Siem Jan (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2
Persistent link: https://www.econbiz.de/10002651712
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Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
Persistent link: https://www.econbiz.de/10001853337
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The common converging trend-cycle model : estimation, modeling and an application to European convergence
Luginbuhl, Rob; Koopman, Siem Jan - In: Monographs of official statistics : papers and …, (pp. 264-291). 2004
Persistent link: https://www.econbiz.de/10003398184
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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. 325-349
Persistent link: https://www.econbiz.de/10003364184
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Interaction between structural and cyclical shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 2, pp. 273-296
Persistent link: https://www.econbiz.de/10001594753
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
Persistent link: https://www.econbiz.de/10001718624
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The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
Persistent link: https://www.econbiz.de/10001689297
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Multivariate structural time series models
Harvey, Andrew C.; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000934066