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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - In: Journal of econometrics 142 (2008) 1, pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
Persistent link: https://www.econbiz.de/10003609242
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Measuring synchronization and convergence of business cycles for the euro area, UK and US
Koopman, Siem Jan; Azevedo, João Valle e - In: Oxford bulletin of economics and statistics 70 (2008) 1, pp. 23-51
Persistent link: https://www.econbiz.de/10003624791
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Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - In: Journal of the American Statistical Association : JASA 102 (2007) 477, pp. 16-27
Persistent link: https://www.econbiz.de/10003430641
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Seasonality with trend and cycle interactions in unobserved components models
Koopman, Siem Jan; Lee, Kai Ming - 2008
Persistent link: https://www.econbiz.de/10003706010
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
Persistent link: https://www.econbiz.de/10003706012
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Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008
Persistent link: https://www.econbiz.de/10003706020
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
Persistent link: https://www.econbiz.de/10003300919
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - In: Oxford bulletin of economics and statistics 71 (2009) 5, pp. 683-713
Persistent link: https://www.econbiz.de/10003875192
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003875669