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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2009
Persistent link: https://www.econbiz.de/10003854422
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
Persistent link: https://www.econbiz.de/10003482698
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Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
Persistent link: https://www.econbiz.de/10003408447
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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
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
Persistent link: https://www.econbiz.de/10003446486
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An introduction to state space time series analysis
Commandeur, Jacques J. F.; Koopman, Siem Jan - 2007
Persistent link: https://www.econbiz.de/10003449623
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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
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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. 695-719
Persistent link: https://www.econbiz.de/10008667461
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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
Persistent link: https://www.econbiz.de/10003973286