Siem Jan Koopman
Siem Jan Koopman
Professor of Econometrics, Vrije Universiteit Amsterdam
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Time series analysis by state space methods
J Durbin, SJ Koopman
Oxford university press, 2012
41592012
STAMP 6.0: Structural time series analyser, modeller and predictor
SJ Koopman, AC Harvey, JA Doornik, N Shephard
London: Timberlake Consultants, 2000
9852000
A simple and efficient simulation smoother for state space time series analysis
J Durbin, SJ Koopman
Biometrika 89 (3), 603-616, 2002
6832002
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
SJ Koopman, B Jungbacker, E Hol
Journal of Empirical Finance 12 (3), 445-475, 2005
6622005
Statistical algorithms for models in state space using SsfPack 2.2
SJ Koopman, N Shephard, JA Doornik
The Econometrics Journal 2 (1), 107-160, 1999
6391999
Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
6202013
Monte Carlo maximum likelihood estimation for non-Gaussian state space models
J Durbin, SJ Koopman
Biometrika 84 (3), 669-684, 1997
5381997
An introduction to state space time series analysis
JJF Commandeur, SJ Koopman
Oxford University Press, 2007
4462007
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives
J Durbin, SJ Koopman
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2000
4422000
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
G Sandmann, SJ Koopman
Journal of Econometrics 87 (2), 271-301, 1998
4171998
10 Structural time series models
AC Harvey, N Shephard
Elsevier 11, 261-302, 1993
356*1993
Forecasting hourly electricity demand using time-varying splines
A Harvey, SJ Koopman
Journal of the American Statistical Association 88 (424), 1228-1236, 1993
3071993
Diagnostic checking of unobserved-components time series models
AC Harvey, SJ Koopman
Journal of Business & Economic Statistics 10 (4), 377-389, 1992
3011992
Exact initial Kalman filtering and smoothing for nonstationary time series models
SJ Koopman
Journal of the American Statistical Association 92 (440), 1630-1638, 1997
2851997
Disturbance smoother for state space models
SJ Koopman
Biometrika 80 (1), 117-126, 1993
2791993
Periodic seasonal Reg-ARFIMA–GARCH models for daily electricity spot prices
SJ Koopman, M Ooms, MA Carnero
Journal of the American Statistical Association 102 (477), 16-27, 2007
2752007
The stochastic volatility in mean model: empirical evidence from international stock markets
SJ Koopman, E Hol Uspensky
Journal of applied Econometrics 17 (6), 667-689, 2002
2302002
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
D Creal, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 29 (4), 552-563, 2011
2262011
Business and default cycles for credit risk
SJ Koopman, A Lucas
Journal of Applied Econometrics 20 (2), 311-323, 2005
1922005
Credit cycles and macro fundamentals
SJ Koopman, R Kräussl, A Lucas, AB Monteiro
Journal of Empirical Finance 16 (1), 42-54, 2009
1882009
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