Access Statistics for Siem Jan Koopman

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A General Framework for Observation Driven Time-Varying Parameter Models 10 19 69 69 16 40 104 104
A General Framework for Observation Driven Time-Varying Parameter Models 4 12 42 42 8 20 33 33
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 3 3 9 85 4 5 31 325
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 7 11 42 119 10 22 82 271
An Hourly Periodic State Space Model for Modelling French National Electricity Load 11 25 76 127 23 45 155 249
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 10 26 62 826
Business and Default Cycles for Credit Risk 16 30 108 689 28 55 188 1,358
Computing Observation Weights for Signal Extraction and Filtering 5 10 31 175 6 14 53 330
Constructing seasonally adjusted data with time-varying confidence intervals 1 3 23 147 4 17 70 591
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 0 0 0 0 0
Convergence in European GDP Series 4 7 22 415 11 17 79 2,038
Credit Cycles and Macro Fundamentals 5 9 38 204 12 24 127 529
Credit Cycles and Macro Fundamentals 5 5 30 89 8 10 77 231
Dynamic Factor Analysis in The Presence of Missing Data 5 17 59 59 6 23 57 57
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 3 7 8 8 6 14 25 25
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 2 3 11 50 6 18 79 296
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 2 4 13 75 2 6 27 206
Fast Estimation of Parameters in State Space Models 0 0 0 0 12 20 92 740
Fast filtering and smoothing for multivariate state space models 3 22 53 382 6 33 85 817
Forecasting Cross-Sections of Frailty-Correlated Default 4 8 27 40 5 14 68 116
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 3 8 42 251 9 38 139 690
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 9 17 75 791 17 46 208 1,914
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 8 19 87 869
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 2 5 39 725 6 27 104 1,831
Interaction between Supply and Demand Shocks in Production and Employment 3 6 18 352 38 113 373 2,931
Interaction between supply and demand in production and employment 1 1 5 11 1 2 13 69
Intervention Time Series Analysis of Crime Rates 12 19 81 529 36 69 240 1,716
Likelihood Functions for State Space Models with Diffuse Initial Conditions 3 7 45 90 9 22 130 214
Likelihood-based Analysis for Dynamic Factor Models 5 10 52 131 8 19 101 187
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 6 11 37 94 9 18 67 157
Long memory modelling of inflation with stochastic variance and structural breaks 1 1 8 21 3 3 33 50
Maximum Likelihood Estimation of Stochastic Volatility Models 1 6 24 922 2 11 37 2,217
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 2 6 33 142 12 28 128 464
Measuring Synchronisation and Convergence of Business Cycles 2 6 19 292 3 12 42 705
Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) 0 0 0 3 1 6 39 410
Model-based Measurement of Actual Volatility in High-Frequency Data 5 9 22 205 5 19 65 651
Model-based Measurement of Latent Risk in Time Series with Applications 2 6 20 79 5 24 91 361
On Importance Sampling for State Space Models 2 7 20 129 5 14 47 384
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 3 5 15 309 7 11 49 776
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 2 13 154 0 12 54 464
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 3 9 54 256 11 24 119 604
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 2 4 19 65 4 7 41 171
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 3 5 31 258 7 14 88 637
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 3 5 23 201 12 21 85 872
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 7 23 64 83 22 57 167 218
Signal extraction and the formulation of unobserved components models 10 23 72 438 16 41 118 1,117
Spline Smoothing over Difficult Regions 6 10 39 39 10 20 70 70
Statistical algorithms for models in state space using ssfpack 2.2 4 28 85 438 9 41 131 1,463
Stock Index Volatility Forecasting with High Frequency Data 2 8 53 756 13 31 139 1,869
Testing the Assumptions Behind the Use of Importance Sampling 1 4 14 96 8 24 46 365
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 3 12 28 52 6 23 70 94
The Stochastic Volatility in Mean Model 7 16 30 399 12 30 66 809
The effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model 3 5 27 27 2 4 36 36
Time Series Modelling of Daily Tax Revenues 4 10 24 263 5 19 63 685
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 2 4 20 441 8 24 77 1,230
Time series analysis of non-gaussian observations based on state space models from both classical and bayesian perspectives 16 38 104 905 38 90 287 2,676
Time-Series Modelling of Daily Tax Revenues 2 8 27 240 18 44 115 834
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 2 4 24 210 3 11 92 720
Total Working Papers 232 543 1,967 13,354 571 1,461 5,351 40,672
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 3 7 11 11 6 19 34 34
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 3 5 20 39 4 11 62 174
An hourly periodic state space model for modelling French national electricity load 2 4 12 12 4 9 31 31
Business and default cycles for credit risk 8 12 43 271 14 22 105 667
Computing observation weights for signal extraction and filtering 3 4 17 55 7 10 32 122
Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals 0 0 5 37 1 2 18 222
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 1 14 89 3 6 43 346
Credit cycles and macro fundamentals 10 15 41 41 15 21 82 82
Detecting shocks: Outliers and breaks in time series 2 4 12 68 5 9 29 171
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 3 12 92 522
Discussion of 'MCMC-based inference' by R. Paap 0 2 3 8 0 3 7 34
Empirical credit cycles and capital buffer formation 1 2 16 61 3 6 45 140
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 2 18 97 0 3 40 217
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model 0 1 4 8 0 2 14 38
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 6 12 38 342 8 17 71 718
Filtering and smoothing of state vector for diffuse state-space models 2 11 34 171 6 19 57 336
Forecasting daily time series using periodic unobserved components time series models 0 3 8 29 1 6 16 59
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 2 5 22 160 5 12 62 464
Interaction between structural and cyclical shocks in production and employment 1 1 2 8 1 2 5 15
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US 1 1 33 63 3 7 57 123
Model-based measurement of latent risk in time series with applications 0 1 3 5 0 3 12 28
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 7 8 2 2 14 18
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 6 9 26 31 11 15 43 52
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 2 14 54 6 8 43 120
Seasonality with trend and cycle interactions in unobserved components models 2 3 3 3 6 11 11 11
Signal extraction and the formulation of unobserved components models 0 0 0 4 14 33 178 1,162
Special Issue on Nonlinear Modelling and Financial Econometrics 0 1 2 13 0 2 9 32
State Space Models With a Common Stochastic Variance 1 4 21 51 1 4 32 87
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 11 30 101 981
Testing the assumptions behind importance sampling 2 10 20 20 4 23 55 55
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 5 22 84 462
The multi-state latent factor intensity model for credit rating transitions 2 6 25 34 5 11 68 110
The stochastic volatility in mean model: empirical evidence from international stock markets 4 6 22 344 4 12 40 1,019
Time Series Modelling of Daily Tax Revenues 0 1 4 8 1 5 16 39
Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives 2 9 20 61 3 16 44 122
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 2 3 22 62 3 6 35 133
Total Journal Articles 65 147 542 2,269 165 401 1,687 8,946

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Statistics updated 2009-11-04