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 Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League 1 1 6 274 12 24 56 676
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 67 1 7 27 228
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area 1 1 1 78 2 7 25 212
A Forty Year Assessment of Forecasting the Boat Race 0 0 1 79 2 3 10 90
A General Framework for Observation Driven Time-Varying Parameter Models 1 1 3 175 2 5 23 433
A General Framework for Observation Driven Time-Varying Parameter Models 0 3 4 122 2 11 28 326
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 0 0 2 30 2 5 25 59
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 0 0 11 481
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 2 5 30
A Novel Test for the Presence of Local Explosive Dynamics 1 2 3 19 3 7 22 32
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 0 4 16 132
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 1 6 0 4 8 17
A statistical model of the global carbon budget 0 0 1 38 1 5 19 98
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 42 0 1 13 83
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 1 3 22 593
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 0 6 40 1,278
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 1 1 308 1 8 25 766
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 0 2 14 65
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 3 9 99
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 0 3 11 64
Business and Default Cycles for Credit Risk 0 0 1 894 1 11 25 1,947
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 0 5 13 37
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 0 3 12 448
Computing Observation Weights for Signal Extraction and Filtering 0 1 1 261 0 7 22 645
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 1 25 0 4 11 113
Convergence in European GDP Series 0 0 0 490 0 3 13 2,277
Credit Cycles and Macro Fundamentals 0 0 0 285 0 5 12 880
Credit cycles and macro fundamentals 0 0 2 182 0 1 17 617
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 0 2 21 0 5 14 41
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 1 4 23 453
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 2 14 75
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 0 2 9 236
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 57 1 2 15 181
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 1 1 4 78 3 5 24 133
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 102 0 2 12 129
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 3 9 522
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 1 6 19 83
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 0 3 12 61
Exploring the crime drop in European Union homicide rates using econometric modelling 0 1 8 8 0 2 8 8
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 3 13 328
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 0 0 9 184
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 1 12 198
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 1 5 859
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 14 0 2 8 65
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 2 7 11
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 11 52
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 1 16 41
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 0 7 9
Finding the European crime drop using a panel data model with stochastic trends 0 0 1 13 0 3 14 21
Food prices and production in the aftermath of natural disasters: the case of Peru 0 0 4 4 1 5 27 27
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 0 10 285
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 353 0 1 15 1,156
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 1 956 1 3 17 2,510
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 3 159 7 14 37 236
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 1 4 14 215
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 182 0 5 11 421
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 1 2 41 1,143
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 1 6 12 88
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 1 94 2 5 16 149
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 92 1 2 20 204
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 0 11 2,125
Generalized Autoregressive Method of Moments 0 0 1 75 0 7 20 161
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 0 5 25 226
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 1 10 155
Global credit risk: world country and industry factors 0 0 0 32 1 5 13 121
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 2 6 61
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 5 15 79
Information Theoretic Optimality of Observation Driven Time Series Models 1 3 5 52 1 6 21 115
Interaction between Supply and Demand Shocks in Production and Employment 0 0 2 389 0 1 7 3,802
Interaction between supply and demand in production and employment 0 0 0 24 0 3 9 177
Intervention Time Series Analysis of Crime Rates 0 0 0 711 0 2 8 2,361
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 1 5 12 105
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 1 3 7 102
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 0 4 9 73
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 0 4 13 504
Likelihood-based Analysis for Dynamic Factor Models 0 0 1 294 0 2 26 592
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 0 48 0 6 23 185
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 134 1 4 14 359
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 1 48 1 7 61 269
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 52 0 3 12 108
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 0 2 12 175
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 0 3 22 209
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 0 5 15 133
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 1 3 17 2,525
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 0 2 14 95
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 0 1 11 17
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 0 4 14 777
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 1 93 0 2 13 146
Measuring Synchronisation and Convergence of Business Cycles 0 1 1 366 0 5 11 906
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 2 8 122
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 1 3 10 90
Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data 0 0 1 9 1 3 18 22
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 95 0 1 15 249
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 0 6 14 777
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 1 4 14 692
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 56 0 4 13 166
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 78 1 8 19 261
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 2 92 0 3 9 142
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 5 12
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 1 7 31
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 0 2 12 198
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 56 0 0 34 204
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) 0 0 0 0 0 2 10 136
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 0 12 130
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 1 77 0 2 9 162
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 2 9 165
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 50 1 3 13 176
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 0 3 33 1 4 22 69
On Importance Sampling for State Space Models 0 0 0 181 0 2 9 534
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 0 4 16 118
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 3 9 44
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 0 2 11 28
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 1 3 9 963
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 1 3 21 598
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 0 7 18 1,243
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 1 2 16 343
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 0 2 13 246
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 0 7 820
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 84 0 3 24 123
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 0 7 20 213
Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence 0 0 0 28 0 3 8 52
Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application 0 1 2 7 0 5 17 24
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 0 3 12 1,062
Score-driven time-varying parameter models with splinebased densities 0 1 29 29 0 8 32 32
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 2 3 7 657
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 3 14 80
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 1 3 6 16
Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods 0 0 17 17 1 3 20 20
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 1 3 11 230
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 0 1 5 6 6
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 0 3 19 136
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 1 5 19 168
Spline Smoothing over Difficult Regions 0 0 0 66 0 2 10 203
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 0 3 13 188
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 1 2 18 151
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 2 6 14 27
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 3 6 37 147
Statistical Early Warning Models with Applications 0 1 2 28 1 3 17 45
Stock Index Volatility Forecasting with High Frequency Data 0 0 1 859 1 6 15 2,230
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 0 3 13 221
Systemic Risk Diagnostics 0 0 0 93 0 1 9 221
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 0 2 15 483
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 0 1 7 63
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 0 1 11 89
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 4 18 511
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 2 4 129
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 0 4 21 78
The Dynamic Skellam Model with Applications 0 0 1 36 2 3 13 153
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 0 6 59 295
The Information in Systemic Risk Rankings 0 0 0 28 0 0 18 111
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) 0 0 0 0 0 2 12 54
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 1 239 0 4 13 694
The Stochastic Volatility in Mean Model 0 0 0 493 0 4 11 1,115
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 87 2 9 30 143
The dynamic factor network model with an application to global credit risk 0 0 0 43 0 2 14 143
The information in systemic risk rankings 0 0 0 41 0 3 13 166
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 0 3 18 83
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 1 1 2 0 3 5 9
Time Series Modelling of Daily Tax Revenues 0 0 0 331 0 2 15 899
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 0 2 10 1,450
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 2 132 2 14 37 488
Time-Series Modelling of Daily Tax Revenues 0 0 1 291 0 0 9 1,079
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 0 3 17 47
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 1 9 959
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 0 3 18 236
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 0 4 21 163
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 1 3 15 58
Total Working Papers 6 20 147 20,795 92 600 2,642 64,204
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 Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 2 3 32 0 5 17 131
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 1 58 0 4 33 233
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 1 1 53 1 3 16 221
A Novel Test for the Presence of Local Explosive Dynamics 0 0 0 0 0 1 10 10
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 2 3 4 68 14 22 43 298
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 0 2 8 320
A regression-based approach to the CO2 airborne fraction 0 0 0 0 1 4 10 11
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 2 0 3 19 28
A time-varying parameter model for local explosions 0 0 1 7 1 2 15 40
Accelerating score-driven time series models 0 0 0 23 0 2 14 106
Amendments and Corrections 0 0 0 1 0 1 6 16
An hourly periodic state space model for modelling French national electricity load 0 0 0 51 0 3 18 220
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 1 2 60 0 5 25 212
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting 0 0 2 2 0 0 8 8
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 0 1 7 32
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 1 1 1 0 5 12 23
Business and default cycles for credit risk 0 0 0 454 1 5 16 1,257
Business and default cycles for credit risk 0 0 1 6 1 2 7 21
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 0 1 0 1 6 9
Computing observation weights for signal extraction and filtering 0 1 7 202 0 9 37 510
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models 0 0 0 0 0 2 8 8
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 2 2 1 2 21 32
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 1 4 13 637
Credit cycles and macro fundamentals 0 0 0 201 2 5 11 604
Detecting shocks: Outliers and breaks in time series 0 0 1 138 0 3 21 371
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 0 3 19 799
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 0 2 8 73
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 1 31 0 4 15 145
Dynamic discrete copula models for high‐frequency stock price changes 1 1 1 2 1 5 17 41
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 1 3 15 25
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 1 1 13 1 2 10 69
Economic Trends and Cycles in Crime: A Study for England and Wales 0 1 2 78 0 4 13 277
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 14 0 2 10 125
Empirical credit cycles and capital buffer formation 0 0 1 143 1 4 24 420
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 1 1 1 178 1 3 16 393
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 2 8 113
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 2 0 5 11 26
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 484 0 4 15 1,104
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 3 16 204
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 13 52
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 138 0 7 16 384
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 8 0 0 14 43
Filtering and smoothing of state vector for diffuse state‐space models 0 2 8 400 0 4 24 749
Forecasting and nowcasting economic growth in the euro area using factor models 0 0 3 28 0 3 13 108
Forecasting daily time series using periodic unobserved components time series models 0 1 1 54 0 5 12 158
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 1 398 2 3 21 1,119
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 1 1 5 0 2 15 50
Forecasting football match results in national league competitions using score-driven time series models 1 3 5 63 6 18 45 266
Forecasting interest rates with shifting endpoints 0 0 0 27 0 3 15 115
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 0 2 73 0 0 18 216
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 22 0 3 13 115
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2 2 6 115 3 13 38 384
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 0 2 17 243
Global Credit Risk: World, Country and Industry Factors 0 0 1 9 0 3 18 110
Identifying trend reversals in atmospheric ethane from a multi-site analysis 0 0 0 0 0 1 2 2
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 1 1 2 32 1 3 13 112
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 4 26 0 5 22 86
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 1 3 11 80
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 1 25 0 6 22 143
Intra-daily smoothing splines for time-varying regression models of hourly electricity load 0 0 0 1 0 1 3 6
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 3 16 45
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 2 10 30
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 2 12 0 3 12 38
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 1 37 0 1 11 128
Likelihood functions for state space models with diffuse initial conditions 0 0 0 39 0 2 12 135
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 1 16 0 3 19 93
Long memory dynamics for multivariate dependence under heavy tails 0 0 1 25 0 8 22 128
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 1 15 70
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 2 17 1 4 12 52
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 0 3 0 2 14 32
Maximum likelihood estimation for dynamic factor models with missing data 0 0 4 120 0 5 31 339
Maximum likelihood estimation for score-driven models 0 0 1 12 2 4 29 71
Measuring Growth Spillovers 0 0 0 0 0 4 6 6
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 3 150 1 3 16 346
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 0 71 0 3 19 250
Missing observations in observation-driven time series models 0 0 0 6 0 4 14 37
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 2 84 0 1 35 240
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 0 3 17 270
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 1 2 5 24 2 6 26 101
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 54 1 6 23 282
Model‐based measurement of latent risk in time series with applications 0 0 0 28 1 5 12 132
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 0 4 14
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 1 117 0 1 10 246
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 1 1 1 80 1 4 12 220
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 0 0 9 76
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 0 4 15 80
Nonlinear autoregressive models with optimality properties 0 0 0 3 0 1 9 25
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 3 10 104
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 0 2 12 73
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 1 2 46 1 5 17 214
Observation-driven filtering of time-varying parameters using moment conditions 1 1 3 9 1 3 13 25
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 3 11 14
Partially censored posterior for robust and efficient risk evaluation 0 0 0 1 0 0 7 25
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 0 118 0 4 19 318
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 1 15 129
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 1 2 3 45 2 4 22 188
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 20 1 6 20 108
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 1 5 16 75
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 3 10 161
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 5 14 1,475
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 2 10 99
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 1 46 0 1 19 189
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 3 11 158
State Space Models With a Common Stochastic Variance 0 0 0 115 0 1 15 208
Statistical Software for State Space Methods 1 1 1 27 1 1 7 169
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 1 7 26 1,313
Testing for Parameter Instability across Different Modeling Frameworks 0 1 1 5 0 6 16 43
Testing the assumptions behind importance sampling 0 0 0 67 0 2 12 284
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 1 1 1 33 1 5 16 144
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 2 13 921
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 0 7 1 6 23 48
The dynamic factor network model with an application to international trade 0 0 0 22 0 5 13 110
The information in systemic risk rankings 0 0 0 23 0 2 8 108
The multi-state latent factor intensity model for credit rating transitions 0 1 3 156 1 8 14 483
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 2 472 2 4 15 1,445
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 0 1 13 44
Time Series Modelling of Daily Tax Revenues 0 0 0 33 0 4 10 120
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 1 2 176 0 2 16 403
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 0 4 19 29
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 7 21 1 9 46 100
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 0 180 0 2 16 384
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 1 1 7 2 7 23 59
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors 0 1 1 2 0 3 8 17
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 3 15 163
Total Journal Articles 14 39 131 6,952 66 444 1,963 27,149

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Introduction to State Space Time Series Analysis 0 0 0 0 1 8 21 403
Time Series Analysis by State Space Methods 0 0 0 0 21 72 255 2,513
Time Series Analysis by State Space Methods 0 0 0 0 10 40 122 1,407
Total Books 0 0 0 0 32 120 398 4,323

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Continuous Time State Space Modelling with an Application to High-Frequency Road Traffic Data 0 0 0 0 0 1 5 5
MESSY TIME SERIES 0 0 1 1 0 0 4 5
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 0 5 12 15
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility 0 0 0 0 0 0 0 0
State Space Methods for Latent Trajectory and Parameter Estimation by Maximum Likelihood 0 0 0 0 0 2 4 4
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 0 0 0 5 0 0 3 9
Total Chapters 0 0 1 6 0 8 28 38

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