Browsing All of EconStor by Author Koopman, Siem Jan

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Year of PublicationTitleAuthor(s)
2005 Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time SeriesKoopman, Siem Jan; Lee, Kai Ming
2006 Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time SeriesKoopman, Siem Jan; Wong, Soon Yip
2006 Credit Cycles and Macro FundamentalsKoopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; Monteiro, Andre
2006 Credit cycles and macro fundamentalsKoopman, Siem Jan; Kräussl, Roman; Lucas, André
2006 Periodic Unobserved Cycles in Seasonal Time Series with an Application to US UnemploymentKoopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma
2007 Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data ModelKoopman, Siem Jan; Lucas, André; Ooms, Marius; van Montfort, Kees; van der Geest, Victor
2007 Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying ParametersKoopman, Siem Jan; Mallee, Max I.P.; van der Wel, Michel
2008 Seasonality with Trend and Cycle Interactions in Unobserved Components ModelsKoopman, Siem Jan; Lee, Kai Ming
2008 Forecasting Cross-Sections of Frailty-Correlated DefaultKoopman, Siem Jan; Lucas, André; Schwaab, Bernd
2008 Likelihood-based Analysis for Dynamic Factor ModelsJungbacker, Borus; Koopman, Siem Jan
2008 A General Framework for Observation Driven Time-Varying Parameter ModelsCreal, Drew; Koopman, Siem Jan; Lucas, André
2008 Likelihood Functions for State Space Models with Diffuse Initial ConditionsFrancke, Marc K.; Koopman, Siem Jan; de Vos, Aart
2008 Spline Smoothing over Difficult RegionsKoopman, Siem Jan; Wong, Soon Yip
2008 The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle ModelCreal, Drew; Koopman, Siem Jan; Zivot, Eric
2009 Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest RatesJungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel
2009 Spot Variance Path Estimation and its Application to High Frequency Jump TestingBos, Charles S.; Janus, Pawel; Koopman, Siem Jan
2010 Systemic Risk DiagnosticsSchwaab, Bernd; Lucas, Andre; Koopman, Siem Jan
2010 Modeling Trigonometric Seasonal Components for Monthly Economic Time SeriesHindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; Ooms, Marius
2010 A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and CorrelationsCreal, Drew; Koopman, Siem Jan; Lucas, André
2010 Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial ProductionBos, Charles S.; Koopman, Siem Jan