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ErscheinungsjahrTitelAutor:innen
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
2007Analyzing 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
2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven ModelsKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel
2010Modeling Trigonometric Seasonal Components for Monthly Economic Time SeriesHindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; Ooms, Marius
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment DataBlasques, Francisco; Hoogerkamp, Meindert Heres; Koopman, Siem Jan; van de Werve, Ilka
2023A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic FactorsArtemova, Mariia; Blasques, Francisco; Koopman, Siem Jan
2014Maximum Likelihood Estimation for Generalized Autoregressive Score ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2008The 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
2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in PerspectiveKoopman, Siem Jan; Lucas, Andre; Schwaab, Bernd
2008Likelihood Functions for State Space Models with Diffuse Initial ConditionsFrancke, Marc K.; Koopman, Siem Jan; de Vos, Aart