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Browsing All of EconStor by Author Koopman, Siem Jan
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Year of Publication
Title
Author(s)
2005
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
Koopman, Siem Jan
;
Lee, Kai Ming
2006
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Koopman, Siem Jan
;
Wong, Soon Yip
2006
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan
;
Ooms, Marius
;
Hindrayanto, Irma
2006
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
2006
Credit Cycles and Macro Fundamentals
Koopman, Siem Jan
;
Kraeussl, Roman
;
Lucas, Andre
;
Monteiro, Andre
2007
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
Koopman, Siem Jan
;
Mallee, Max I.P.
;
van der Wel, Michel
2007
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
;
van Montfort, Kees
;
van der Geest, Victor
2008
Likelihood-based Analysis for Dynamic Factor Models
Jungbacker, Borus
;
Koopman, Siem Jan
2008
Forecasting Cross-Sections of Frailty-Correlated Default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
2008
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
2008
Likelihood Functions for State Space Models with Diffuse Initial Conditions
Francke, Marc K.
;
Koopman, Siem Jan
;
de Vos, Aart
2008
A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
2008
Spline Smoothing over Difficult Regions
Koopman, Siem Jan
;
Wong, Soon Yip
2008
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
Koopman, Siem Jan
;
Lee, Kai Ming
2009
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
van der Wel, Michel
2009
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.
;
Janus, Pawel
;
Koopman, Siem Jan
2010
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Bos, Charles S.
;
Koopman, Siem Jan
2010
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
Hindrayanto, Irma
;
Aston, John A.D.
;
Koopman, Siem Jan
;
Ooms, Marius
2010
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan
;
Lucas, Andre
;
Schwaab, Bernd
2010
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André