Browsing All of EconStor by Author Koopman, Siem Jan


Showing results 61 to 80 of 120
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Year of PublicationTitleAuthor(s)
2012Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space ModelsBarra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, Andre
2013Observation driven mixed-measurement dynamic factor models with an application to credit riskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2014Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic PropertiesBlasques, Francisco; Koopman, Siem Jan; Lucas, and André
2014The Dynamic Skellam Model with ApplicationsKoopman, Siem Jan; Lit, Rutger; Lucas, André
2014Nowcasting and Forecasting Economic Growth in the Euro Area using Principal ComponentsHindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper
2014Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European CitiesCommandeur, Jacques J.F.; Vujic, Suncica; Koopman, Siem Jan; Kasprzyk-Hordern, Barbara
2014Maximum Likelihood Estimation for Generalized Autoregressive Score ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space ModelsBarra, István; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, André
2014Empirical Bayes Methods for Dynamic Factor ModelsKoopman, Siem Jan; Mesters, Geert
2014A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro AreaMesters, Geert; Schwaab, Bernd; Koopman, Siem Jan
2014Information Theoretic Optimality of Observation Driven Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2014Testing for Parameter Instability in Competing Modeling FrameworksCalvori, Francesco; Creal, Drew; Koopman, Siem Jan; Lucas, Andre
2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor ModelsBlasques, Francisco; Koopman, Siem Jan; Mallee, Max
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2014Spillover dynamics for systemic risk measurement using spatial financial time series modelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2014Time Varying Transition Probabilities for Markov Regime Switching ModelsBazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014Optimal Formulations for Nonlinear Autoregressive ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2015The Information in Systemic Risk RankingsNucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2015A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André