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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

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

A dynamic bivariate poisson model for analysing and forecasting match results in the English premier league

Koopman, Siem Jan; Lit, Rutger - 2012

Persistent link: https://www.econbiz.de/10009722968

Filtering and forecasting commodity futures prices under an HMM framework

Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013

Persistent link: https://www.econbiz.de/10010355984

Robust implementation of a parsimonious dynamic factor model to nowcast GDP

Duarte, Pablo; Süssmuth, Bernd - 2014

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

Persistent link: https://www.econbiz.de/10010229863