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Bayesian dynamic modeling of h...
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83
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73
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66
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60
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44
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37
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29
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111
Regime switches in the volatility and correlation of financial institutions
Boudt, Kris
;
Daníelsson, Jón
;
Koopman, Siem Jan
; …
-
2012
Persistent link: https://www.econbiz.de/10009665042
Saved in:
112
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
113
Economic trends and cycles in crime : a study for England and Wales
Vujić, Sunc̆ica
;
Koopman, Siem Jan
;
Commandeur, …
- In:
Jahrbücher für Nationalökonomie und Statistik
232
(
2012
)
6
,
pp. 652-677
Persistent link: https://www.econbiz.de/10009670215
Saved in:
114
The analysis of stochastic volatility in the presence of daily realized measures
Koopman, Siem Jan
;
Scharth, Marcel
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 76-115
Persistent link: https://www.econbiz.de/10009708926
Saved in:
115
State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics
Zivot, Eric
;
Wang, Jeffrey
;
Koopman, Siem Jan
- In:
State space and unobserved component models : theory …
,
(pp. 284-335)
.
2004
Persistent link: https://www.econbiz.de/10009719920
Saved in:
116
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
117
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
-
2011
Persistent link: https://www.econbiz.de/10009720782
Saved in:
118
Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
-
2012
Persistent link: https://www.econbiz.de/10009722625
Saved in:
119
Forecasting macroeconomic variables using collapsed dynamic factor analysis
Brauning, Falk
;
Koopman, Siem Jan
-
2012
Persistent link: https://www.econbiz.de/10009722660
Saved in:
120
Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
-
2012
Persistent link: https://www.econbiz.de/10009722696
Saved in:
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