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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
OUP Oxford, 2012
47452012
STAMP 6.0: Structural time series analyser, modeller and predictor
SJ Koopman, AC Harvey, JA Doornik, N Shephard
London: Timberlake Consultants, 2000
10212000
Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
8072013
A simple and efficient simulation smoother for state space time series analysis
J Durbin, SJ Koopman
Biometrika 89 (3), 603-616, 2002
7672002
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
7272005
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
6691999
Monte Carlo maximum likelihood estimation for non-Gaussian state space models
J Durbin, SJ Koopman
Biometrika 84 (3), 669-684, 1997
5741997
An introduction to state space time series analysis
JJF Commandeur, SJ Koopman
Oxford University Press, 2007
5122007
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
4712000
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
G Sandmann, SJ Koopman
Journal of Econometrics 87 (2), 271-301, 1998
4501998
10 Structural time series models
AC Harvey, N Shephard
Elsevier 11, 261-302, 1993
3401993
Forecasting hourly electricity demand using time-varying splines
A Harvey, SJ Koopman
Journal of the American Statistical Association 88 (424), 1228-1236, 1993
3251993
Diagnostic checking of unobserved-components time series models
AC Harvey, SJ Koopman
Journal of Business & Economic Statistics 10 (4), 377-389, 1992
3251992
Exact initial Kalman filtering and smoothing for nonstationary time series models
SJ Koopman
Journal of the American Statistical Association 92 (440), 1630-1638, 1997
3141997
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
3062007
Disturbance smoother for state space models
SJ Koopman
Biometrika 80 (1), 117-126, 1993
2981993
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
2852011
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
2532002
Business and default cycles for credit risk
SJ Koopman, A Lucas
Journal of Applied Econometrics 20 (2), 311-323, 2005
2232005
Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters
SJ Koopman, MIP Mallee, M Van der Wel
Journal of Business & Economic Statistics 28 (3), 329-343, 2010
2132010
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Artikelen 1–20