Browsen in EconStor gesamt nach Autor:innen Koopman, Siem Jan

Zeige Ergebnisse 1 bis 20 von 113
 weiter >
2000 The Stochastic Volatility in Mean ModelKoopman, Siem Jan; Uspensky, Eugenie Hol
2000 Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied VolatilityHol, Eugenie; Koopman, Siem Jan
2001 Time Series Modelling of Daily Tax RevenuesKoopman, Siem Jan; Ooms, Marius
2002 Stock Index Volatility Forecasting with High Frequency DataHol, Eugenie; Koopman, Siem Jan
2002 Time Series Models with a Common Stochastic Variance for Analysing Economic Time SeriesKoopman, Siem Jan; Bos, Charles S.
2002 Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer FormationKoopman, Siem Jan; Lucas, André; Klaassen, Pieter
2003 Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot PricesCarnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius
2003 Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Areae Azevedo, Joao Valle; Koopman, Siem Jan; Rua, Antonio
2003 Convergence in European GDP SeriesLuginbuhl, Rob; Koopman, Siem Jan
2003 Measuring Synchronisation and Convergence of Business CyclesKoopman, Siem Jan; e Azevedo, Joao Valle
2003 Business and Default Cycles for Credit RiskKoopman, Siem Jan; Lucas, André
2003 Intervention Time Series Analysis of Crime RatesSridharan, Sanjeev; Vujic, Suncica; Koopman, Siem Jan
2003 Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch EvidenceMenkveld, Albert J.; Koopman, Siem Jan; Lucas, André
2004 Forecasting Daily Time Series using Periodic Unobserved Components Time Series ModelsKoopman, Siem Jan; Ooms, Marius
2004 Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility MeasurementsKoopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie
2005 Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot PricesKoopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles
2005 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default RiskKoopman, Siem Jan; Lucas, André; Daniels, Robert
2005 Model-based Measurement of Latent Risk in Time Series with ApplicationsBijleveld, Frits; Commandeur, Jacques; Gould, Phillip; Koopman, Siem Jan
2005 The Multi-State Latent Factor Intensity Model for Credit Rating TransitionsKoopman, Siem Jan; Lucas, André; Monteiro, André
2005 On Importance Sampling for State Space ModelsJungbacker, Borus; Koopman, Siem Jan