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Durbin, James [Author]; Koopman, Siem Jan [Author]

Time series analysis by state space methods - [Second edition]

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Oxford: Oxford University Press, 2012

Published in: Oxford statistical science series ; 38
Durbin, James [Author]; Koopman, Siem Jan [Author]

Time series analysis by state space methods - [Reprinted]

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Oxford [u.a.]: Oxford University Press, 2008

Published in: Oxford statistical science series ; 24,2008
Harvey, Andrew C. [Editor]; Koopman, Siem Jan [Other]; Shephard, Neil G. [Other] ; Conference State Space and Unobserved Component Models 2002 Amsterdam

State space and unobserved component models : theory and applications - [1. publ.]

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Cambridge [u.a.]: Cambridge University Press, 2004
Gorgi, Paolo [Author] ; Koopman, Siem Jan [Other]

Beta Observation-Driven Models With Exogenous Regressors : A Joint Analysis of Realized Correlation and Leverage Effects

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[S.l.]: SSRN, [2020]

Published in: Tinbergen Institute Discussion Paper 20-004/III
Bräuning, Falk [Author] ; Koopman, Siem Jan [Other]

The Dynamic Factor Network Model with an Application to Global Credit Risk

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[S.l.]: SSRN, [2016]

Published in: FRB of Boston Working Paper ; No. 16-13
Li, Mengheng [Author] ; Koopman, Siem Jan [Other]

Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 2018-027/III
Mesters, Geert [Author] ; Koopman, Siem Jan [Other]

Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

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[S.l.]: SSRN, [2012]

Published in: Tinbergen Institute Discussion Paper ; No. 12-009/4
Ferrara, Laurent [Author] ; Koopman, Siem Jan [Other]

Common Business and Housing Market Cycles in the Euro Area from a Multivariate Decomposition

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 275
Creal, Drew [Author] ; Koopman, Siem Jan [Other]

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-Varying Multivariate Trend-Cycle Model

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[S.l.]: SSRN, [2008]

Published in: Tinbergen Institute Discussion Paper 08-069/4
Jungbacker, Borus [Author] ; Koopman, Siem Jan [Other]

Model-Based Measurement of Actual Volatility in High-Frequency Data

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[S.l.]: SSRN, [2005]
Hol Uspensky, Eugenie [Author] ; Koopman, Siem Jan [Other]

Stock Index Volatility Forecasting with High Frequency Data

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[S.l.]: SSRN, [2002]
Gorgi, Paolo [Author] ; Koopman, Siem Jan [Other]; Lit, Rutger [Other]

The Analysis and Forecasting of ATP Tennis Matches Using a High-Dimensional Dynamic Model

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 2018-009/III
Barra, Istvan [Author] ; Borowska, Agnieszka [Other]; Koopman, Siem Jan [Other]

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Instituut 16-028/III
Gorgi, Paolo [Author] ; Koopman, Siem Jan [Other]; Li, Mengheng [Other]

Forecasting Economic Time Series Using Score-Driven Dynamic Models with Mixed-Data Sampling

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 2018-026/III
Blasques, Francisco [Author] ; Koopman, Siem Jan [Other]; Nientker, Marc [Other]

A Time-Varying Parameter Model for Local Explosions

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[S.l.]: SSRN, [2018]

Published in: Tinbergen Institute Discussion Paper 2018-088/III
Blasques, Francisco [Author] ; Gorgi, Paolo [Other]; Koopman, Siem Jan [Other]

Accelerating GARCH and Score-Driven Models : Optimality, Estimation and Forecasting

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[S.l.]: SSRN, [2017]
Blasques, Francisco [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

Maximum Likelihood Estimation for Score-Driven Models

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[S.l.]: SSRN, [2017]

Published in: Tinbergen Institute Discussion Paper 14-029/III
Schwaab, Bernd [Author] ; Koopman, Siem Jan [Other]; Lucas, Andre [Other]

Global Credit Risk : World, Country and Industry Factors

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[S.l.]: SSRN, [2016]

Published in: ECB Working Paper ; No. 1922
Hansen, Peter Reinhard [Author] ; Janus, Pawel [Other]; Koopman, Siem Jan [Other]

Realized Wishart-Garch : A Score-Driven Multi-Asset Volatility Model

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[S.l.]: SSRN, [2016]

Published in: Tinbergen Institute Discussion Paper 2016-061/III
Mesters, Geert [Author] ; Schwaab, Bernd [Other]; Koopman, Siem Jan [Other]

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions : An Empirical Study of Non-Standard Monetary Policy in the Euro Area

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[S.l.]: SSRN, [2014]

Published in: Tinbergen Institute Discussion Paper 14-071/III

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