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 0 3 5 273 10 20 42 662
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 67 5 10 25 226
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area 0 0 0 77 4 10 22 209
A Forty Year Assessment of Forecasting the Boat Race 0 0 1 79 1 2 8 88
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 119 5 10 23 320
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 2 174 2 6 21 430
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 0 0 3 30 2 12 25 56
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 0 1 17 481
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 2 2 5 30
A Novel Test for the Presence of Local Explosive Dynamics 1 1 3 18 3 7 19 28
A Time-Varying Parameter Model for Local Explosions 0 1 2 71 4 6 16 132
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 1 6 3 3 7 16
A statistical model of the global carbon budget 0 0 1 38 2 4 16 95
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 1 42 1 7 15 83
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 2 6 22 592
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 4 17 40 1,276
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 1 2 308 6 9 25 764
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 1 5 13 64
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 2 3 8 98
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 2 3 10 63
Business and Default Cycles for Credit Risk 0 0 1 894 8 12 23 1,944
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 4 5 13 36
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 2 2 12 447
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 5 9 20 643
Constructing seasonally adjusted data with time-varying confidence intervals 0 1 1 25 4 7 11 113
Convergence in European GDP Series 0 0 0 490 3 4 13 2,277
Credit Cycles and Macro Fundamentals 0 0 0 285 4 5 12 879
Credit cycles and macro fundamentals 0 0 2 182 1 6 17 617
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 0 3 21 5 7 15 41
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 3 6 23 452
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 2 8 15 75
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 3 9 235
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 57 1 4 18 180
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 3 77 1 5 24 129
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 102 2 3 13 129
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 2 2 8 521
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 5 9 18 82
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 3 7 13 61
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 2 5 12 327
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 0 1 9 184
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 1 2 12 198
Fast Estimation of Parameters in State Space Models 0 0 0 0 1 2 5 859
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 14 2 3 8 65
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 2 3 8 11
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 4 11 52
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 5 17 41
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 1 7 9
Finding the European crime drop using a panel data model with stochastic trends 0 0 1 13 2 3 13 20
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 1 10 285
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 353 1 3 15 1,156
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 1 956 2 5 16 2,509
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 1 3 159 5 13 31 227
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 2 5 12 213
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 182 2 5 8 418
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 1 5 40 1,142
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 3 4 10 85
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 94 0 2 13 144
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 1 1 92 0 5 19 202
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 3 11 2,125
Generalized Autoregressive Method of Moments 0 0 1 75 7 12 21 161
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 4 7 24 225
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 1 3 10 155
Global credit risk: world country and industry factors 0 0 0 32 4 6 13 120
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 2 2 7 61
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 3 5 13 77
Information Theoretic Optimality of Observation Driven Time Series Models 1 1 3 50 3 7 19 112
Interaction between Supply and Demand Shocks in Production and Employment 0 2 2 389 1 3 8 3,802
Interaction between supply and demand in production and employment 0 0 0 24 3 5 9 177
Intervention Time Series Analysis of Crime Rates 0 0 0 711 2 4 8 2,361
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 3 6 10 103
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 2 2 6 101
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 3 4 8 72
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 4 9 13 504
Likelihood-based Analysis for Dynamic Factor Models 0 0 1 294 2 7 26 592
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 0 48 6 12 24 185
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 134 1 2 11 356
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 1 48 4 28 58 266
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 2 4 13 107
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 2 4 12 175
Maximum Likelihood Estimation for Score-Driven Models 0 1 1 60 2 7 22 208
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 4 5 15 132
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 2 6 16 2,524
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 2 3 14 95
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 1 4 11 17
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 0 1 10 773
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 1 93 2 7 13 146
Measuring Synchronisation and Convergence of Business Cycles 1 1 1 366 4 4 10 905
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 2 4 9 122
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 4 9 89
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 1 95 1 6 18 249
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 5 8 13 776
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 2 4 12 690
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 56 4 6 13 166
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 78 4 5 17 257
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 1 2 92 2 3 8 141
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 1 6 30
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 2 5 12
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 1 6 11 197
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 56 0 11 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 1 10 134
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 2 13 130
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 1 77 1 2 8 161
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 2 8 164
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 1 2 50 2 3 14 175
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 1 3 33 3 6 24 68
On Importance Sampling for State Space Models 0 0 0 181 2 4 10 534
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 3 4 15 117
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 3 3 9 44
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 1 2 10 27
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 2 2 8 962
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 1 7 19 596
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 7 9 20 1,243
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 0 6 14 341
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 2 4 13 246
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 1 8 820
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 1 84 2 8 23 122
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 4 6 17 210
Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence 0 0 0 28 3 4 8 52
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 3 5 12 1,062
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 1 1 5 655
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 1 3 12 78
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 2 2 5 15
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 10 229
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 3 6 19 136
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 4 16 165
Spline Smoothing over Difficult Regions 0 0 0 66 2 4 10 203
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 2 2 12 187
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 1 1 61 1 8 19 150
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 1 14 32 142
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 2 3 10 23
Statistical Early Warning Models with Applications 0 0 2 27 1 7 18 43
Stock Index Volatility Forecasting with High Frequency Data 0 0 1 859 5 6 16 2,229
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 3 5 13 221
Systemic Risk Diagnostics 0 0 0 93 1 2 9 221
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 2 5 16 483
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 1 2 8 63
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 3 11 89
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 2 7 16 509
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 1 2 127
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 4 8 21 78
The Dynamic Skellam Model with Applications 0 0 1 36 1 3 12 151
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 4 15 57 293
The Information in Systemic Risk Rankings 0 0 0 28 0 3 20 111
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 2 3 13 54
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 2 239 3 5 14 693
The Stochastic Volatility in Mean Model 0 0 0 493 2 4 10 1,113
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 87 3 12 26 137
The dynamic factor network model with an application to global credit risk 0 0 0 43 1 8 13 142
The information in systemic risk rankings 0 0 0 41 2 5 12 165
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 3 8 18 83
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 1 1 1 2 3 4 5 9
Time Series Modelling of Daily Tax Revenues 0 0 0 331 2 6 16 899
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 1 2 9 1,449
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 2 132 11 18 36 485
Time-Series Modelling of Daily Tax Revenues 0 0 1 291 0 3 9 1,079
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 3 5 17 47
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 3 9 18 236
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 3 8 958
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 2 6 19 161
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 2 5 15 57
Total Working Papers 5 21 86 20,709 371 860 2,412 63,867
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 1 1 1 58 3 12 32 232
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 30 3 7 17 129
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 1 5 14 219
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 1 1 2 66 4 9 26 280
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 2 3 9 320
A regression-based approach to the CO2 airborne fraction 0 0 0 0 2 3 8 9
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 2 3 6 20 28
A time-varying parameter model for local explosions 0 1 1 7 1 6 14 39
Accelerating score-driven time series models 0 0 1 23 0 0 13 104
Amendments and Corrections 0 0 0 1 1 1 6 16
An hourly periodic state space model for modelling French national electricity load 0 0 1 51 2 4 18 219
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 3 60 4 8 26 211
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 1 2 7 32
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 0 0 4 6 13 22
Business and default cycles for credit risk 0 0 1 454 4 8 16 1,256
Business and default cycles for credit risk 0 0 2 6 1 2 7 20
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 0 1 0 2 5 8
Computing observation weights for signal extraction and filtering 1 3 7 202 7 12 39 508
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 1 2 2 1 7 20 31
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 3 5 12 636
Credit cycles and macro fundamentals 0 0 0 201 3 5 10 602
Detecting shocks: Outliers and breaks in time series 0 0 1 138 2 4 20 370
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 7 19 798
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 2 3 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 3 4 15 144
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 2 8 14 38
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 1 8 14 23
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 1 1 1 13 1 5 9 68
Economic Trends and Cycles in Crime: A Study for England and Wales 1 2 2 78 3 4 13 276
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 14 1 4 11 124
Empirical credit cycles and capital buffer formation 0 0 1 143 2 8 22 418
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 0 177 1 5 14 391
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 2 2 8 113
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 2 5 9 11 26
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 484 2 4 13 1,102
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 2 5 15 203
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 4 13 52
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 138 6 8 15 383
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 8 0 1 14 43
Filtering and smoothing of state vector for diffuse state‐space models 1 3 7 399 2 5 22 747
Forecasting and nowcasting economic growth in the euro area using factor models 0 1 3 28 3 8 13 108
Forecasting daily time series using periodic unobserved components time series models 0 0 1 53 4 7 12 157
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 1 398 1 4 19 1,117
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 4 1 4 17 49
Forecasting football match results in national league competitions using score-driven time series models 1 1 3 61 4 8 33 252
Forecasting interest rates with shifting endpoints 0 0 0 27 2 2 16 114
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 1 2 73 0 3 19 216
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 22 3 4 15 115
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 1 5 113 5 12 34 376
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 1 5 17 242
Global Credit Risk: World, Country and Industry Factors 0 0 1 9 2 6 17 109
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 1 1 31 2 5 13 111
Information-theoretic optimality of observation-driven time series models for continuous responses 1 1 4 26 3 6 20 84
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 1 3 9 78
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 1 25 6 11 22 143
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 3 5 17 45
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 2 5 10 30
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 1 3 12 3 5 13 38
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 1 1 37 1 7 11 128
Likelihood functions for state space models with diffuse initial conditions 0 0 0 39 2 4 12 135
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 1 16 3 8 19 93
Long memory dynamics for multivariate dependence under heavy tails 0 0 1 25 7 8 21 127
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 14 69
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 3 17 3 6 12 51
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 0 3 1 3 14 31
Maximum likelihood estimation for dynamic factor models with missing data 0 2 4 120 1 8 29 335
Maximum likelihood estimation for score-driven models 0 1 1 12 2 6 27 69
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 1 4 150 2 4 17 345
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 0 71 3 8 24 250
Missing observations in observation-driven time series models 0 0 0 6 3 4 13 36
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 2 2 84 1 5 35 240
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 3 5 18 270
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 1 2 4 23 3 7 23 98
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 54 4 11 21 280
Model‐based measurement of latent risk in time series with applications 0 0 0 28 4 7 11 131
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 2 5 14
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 1 117 1 2 10 246
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 0 79 2 3 10 218
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 0 3 9 76
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 4 5 15 80
Nonlinear autoregressive models with optimality properties 0 0 0 3 1 3 9 25
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 3 5 10 104
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 2 3 12 73
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 1 1 2 46 3 6 15 212
Observation-driven filtering of time-varying parameters using moment conditions 0 1 2 8 1 2 12 23
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 3 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 2 4 17 316
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 1 6 15 129
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 1 2 2 44 1 4 23 185
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 20 3 6 18 105
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 4 6 16 74
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 2 5 9 160
Signal extraction and the formulation of unobserved components models 0 0 0 4 4 5 13 1,474
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 2 2 10 99
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 1 2 23 189
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 3 5 11 158
State Space Models With a Common Stochastic Variance 0 0 0 115 1 5 15 208
Statistical Software for State Space Methods 0 0 0 26 0 1 6 168
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 6 16 27 1,312
Testing for Parameter Instability across Different Modeling Frameworks 1 1 1 5 6 8 16 43
Testing the assumptions behind importance sampling 0 0 0 67 2 3 12 284
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 0 32 3 4 14 142
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 3 12 920
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 1 7 5 10 24 47
The dynamic factor network model with an application to international trade 0 0 0 22 1 4 10 106
The information in systemic risk rankings 0 0 0 23 2 2 10 108
The multi-state latent factor intensity model for credit rating transitions 1 2 3 156 5 7 13 480
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 1 4 13 44
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 2 472 2 2 15 1,443
Time Series Modelling of Daily Tax Revenues 0 0 0 33 3 5 9 119
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 1 175 1 4 16 402
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 4 7 20 29
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 2 7 21 5 22 42 96
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 0 180 1 3 15 383
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 0 6 3 6 22 55
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 3 3 16 163
Total Journal Articles 14 39 119 6,923 276 616 1,846 26,936

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 7 9 22 402
Time Series Analysis by State Space Methods 0 0 0 0 18 33 117 1,385
Time Series Analysis by State Space Methods 0 0 0 0 27 79 235 2,468
Total Books 0 0 0 0 52 121 374 4,255

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MESSY TIME SERIES 0 1 1 1 0 1 4 5
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 5 6 12 15
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 0 0 0 5 0 2 3 9
Total Chapters 0 1 1 6 5 9 19 29

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