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