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Results 1-10 of 12.
Year of PublicationTitleAuthor(s)
2022Maximum likelihood estimation for non-stationary location models with mixture of normal distributionsBlasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment DataBlasques, Francisco; Hoogerkamp, Meindert Heres; Koopman, Siem Jan; van de Werve, Ilka
2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic ErrorsGorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia
2021Forecasting in a changing world: from the great recession to the COVID-19 pandemicArtemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; Zhang, Zhaokun
2021Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical EvidenceBlasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan
2022Finding the European crime drop using a panel data model with stochastic trendsvan de Werve, Ilka; Koopman, Siem Jan
2021Time-varying state correlations in state space models and their estimation via indirect inferenceSchiavoni, Caterina; Koopman, Siem Jan; Palm, Franz; Smeekes, Stephan; van den Brakel, Jan
2021Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large PanelsKoopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint
2021Conditional score residuals and diagnostic analysis of serial dependence in time series modelsBlasques, F.; Gorgi, P.; Koopman, Siem Jan
2021An empirical assessment of the U.S. Phillips curve over timeVlekke, Marente; Koopman, Siem Jan; Mellens, Martin C.