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 0 2 266 2 3 7 615
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 66 0 0 3 201
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 0 0 0 186
A Forty Year Assessment of Forecasting the Boat Race 0 0 2 78 1 1 4 78
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 0 0 2 409
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 118 1 1 8 297
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 1 1 2 27 1 4 10 29
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 122 0 0 2 464
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 1 2 25
A Novel Test for the Presence of Local Explosive Dynamics 0 0 15 15 0 0 7 7
A Time-Varying Parameter Model for Local Explosions 0 0 0 69 0 0 2 114
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 4 4 1 2 8 8
A statistical model of the global carbon budget 0 0 1 37 0 1 5 78
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 40 2 2 5 67
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 0 0 0 569
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 0 2 20 1,234
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 5 305 1 1 9 736
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 1 1 2 51
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 0 0 90
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 0 0 4 53
Business and Default Cycles for Credit Risk 0 1 4 893 0 1 5 1,921
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 1 1 2 23
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 1 2 3 435
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 1 1 1 623
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 24 0 0 1 102
Convergence in European GDP Series 0 0 0 490 0 0 0 2,264
Credit Cycles and Macro Fundamentals 0 0 0 285 1 2 2 867
Credit cycles and macro fundamentals 0 0 0 180 0 0 0 600
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 0 1 18 1 3 6 26
Dynamic Factor Analysis in The Presence of Missing Data 0 0 3 214 0 0 11 428
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 1 19 0 0 4 60
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 0 2 226
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 56 0 0 2 162
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 1 74 0 0 5 105
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 101 2 2 2 114
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 1 2 513
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 0 1 1 64
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 1 1 1 47
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 0 0 314
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 1 79 1 1 7 172
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 0 1 186
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 0 0 854
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 14 0 0 3 56
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 0 0 3
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 2 41
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 2 24
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 0 1 2
Finding the European crime drop using a panel data model with stochastic trends 0 0 0 12 0 1 2 7
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 1 8 275
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 352 1 1 2 1,139
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 1 955 0 0 4 2,493
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 3 156 1 3 14 194
Forecasting Interest Rates with Shifting Endpoints 0 0 1 80 1 2 3 201
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 181 2 2 3 409
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 1 1 3 1,102
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 1 1 3 74
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 1 1 2 92 1 3 10 130
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 1 3 182
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 0 2 2,114
Generalized Autoregressive Method of Moments 0 0 0 74 0 1 6 140
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 0 1 2 200
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 0 1 145
Global credit risk: world country and industry factors 0 0 0 32 1 1 4 107
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 0 1 54
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 0 1 64
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 1 47 0 0 3 93
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 0 1 3,794
Interaction between supply and demand in production and employment 0 0 0 24 1 1 2 168
Intervention Time Series Analysis of Crime Rates 0 0 0 711 0 0 1 2,353
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 1 2 92
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 0 0 95
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 0 0 0 64
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 0 0 27 2 2 4 43
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 1 166 0 0 1 491
Likelihood-based Analysis for Dynamic Factor Models 0 0 1 293 0 0 2 566
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 1 1 1 48 1 1 1 161
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 1 134 0 0 1 345
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 0 0 1 208
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 51 0 0 1 94
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 1 3 3 163
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 59 0 0 3 186
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 2 51 0 0 3 116
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 1 2 2 2,508
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 9 0 0 1 81
Maximum likelihood estimation of stochastic volatility models 0 0 2 2 2 2 5 6
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 0 0 0 761
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 0 92 1 1 4 133
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 365 1 1 5 894
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 1 5 112
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 1 1 2 80
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 94 0 0 1 230
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 0 1 1 763
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 0 0 0 678
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 2 55 1 1 4 153
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 1 77 0 0 4 238
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 2 89 1 3 7 132
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 0 23
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 1 6
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 0 0 0 186
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 1 1 1 56 2 4 4 170
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 2 5 5 124
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 0 1 116
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 76 0 0 0 152
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 0 0 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 3 48 0 1 7 160
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 0 8 30 1 3 19 44
On Importance Sampling for State Space Models 0 0 0 181 0 0 0 524
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 1 53 1 1 4 101
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 1 1 2 35
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 0 0 0 17
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 1 353 0 0 1 953
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 0 0 0 577
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 1 2 2 1,223
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 0 0 0 326
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 0 0 0 233
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 0 0 812
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 83 2 3 5 99
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 2 3 7 193
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 1 2 2 1,050
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 0 0 4 649
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 20 0 1 2 66
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 1 1 1 2 10
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 1 98 0 0 2 219
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 0 68 0 0 5 117
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 49 0 0 5 149
Spline Smoothing over Difficult Regions 0 1 1 66 1 2 3 193
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 0 2 4 174
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 2 60 0 0 5 131
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 22 0 0 2 110
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 0 1 2 12
Statistical Early Warning Models with Applications 0 0 25 25 2 4 21 21
Stock Index Volatility Forecasting with High Frequency Data 0 0 0 858 1 1 1 2,212
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 0 1 1 208
Systemic Risk Diagnostics 0 0 0 93 1 1 1 212
Systemic risk diagnostics: coincident indicators and early warning signals 1 1 2 149 1 1 6 467
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 0 0 0 55
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 2 2 78
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 0 2 493
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 0 0 123
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 0 0 0 57
The Dynamic Skellam Model with Applications 0 0 0 35 0 0 5 139
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 1 1 236
The Information in Systemic Risk Rankings 0 0 0 28 0 0 0 91
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 1 1 2 36
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 1 237 0 0 2 679
The Stochastic Volatility in Mean Model 0 0 1 493 0 1 3 1,101
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 1 1 4 86 3 4 9 111
The dynamic factor network model with an application to global credit risk 0 0 1 43 0 0 1 128
The information in systemic risk rankings 1 1 2 41 2 3 7 152
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 1 1 1 1 1 1 1 2
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 1 17 0 0 1 65
Time Series Modelling of Daily Tax Revenues 0 1 1 331 1 2 2 883
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 0 0 0 1,440
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 129 1 1 13 448
Time-Series Modelling of Daily Tax Revenues 0 0 0 290 1 1 1 1,070
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 0 0 1 30
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 0 0 0 218
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 0 0 950
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 0 0 4 142
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 3 40 1 1 9 41
Total Working Papers 8 11 136 20,611 74 134 500 61,372
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 1 1 29 0 2 5 112
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 57 0 1 3 200
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 0 2 4 205
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 0 7 63 0 1 21 253
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 2 71 1 1 5 310
A regression-based approach to the CO2 airborne fraction 0 0 0 0 1 1 1 1
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 1 1 1 1 1 2 6 6
A time-varying parameter model for local explosions 0 0 1 6 0 0 4 24
Accelerating score-driven time series models 0 0 4 20 1 2 8 89
Amendments and Corrections 0 0 0 1 0 0 1 10
An hourly periodic state space model for modelling French national electricity load 0 0 0 50 1 1 4 201
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 2 2 7 57 3 5 20 185
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 0 0 0 24
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 0 0 1 2 8 9
Business and default cycles for credit risk 0 1 1 4 0 1 2 13
Business and default cycles for credit risk 0 0 1 453 2 4 8 1,240
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 0 0 0 0 2 2
Computing observation weights for signal extraction and filtering 0 2 13 191 7 13 31 464
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 0 0 0 0 0 11
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 0 0 0 624
Credit cycles and macro fundamentals 0 0 1 201 1 2 7 592
Detecting shocks: Outliers and breaks in time series 0 1 6 137 0 1 9 350
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 4 11 779
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 1 13 0 1 2 65
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 1 30 0 0 2 128
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 1 1 24
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 0 0 2 9
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 0 0 2 58
Economic Trends and Cycles in Crime: A Study for England and Wales 0 1 3 76 1 2 4 263
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 13 0 0 2 113
Empirical credit cycles and capital buffer formation 0 0 0 142 0 0 0 396
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 1 1 1 177 1 1 4 376
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 0 0 105
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 1 0 1 4 14
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 3 483 2 2 13 1,088
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 0 3 188
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 1 1 2 39
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 137 1 1 6 366
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 5 0 0 4 27
Filtering and smoothing of state vector for diffuse state‐space models 1 2 10 391 1 3 13 719
Forecasting and nowcasting economic growth in the euro area using factor models 0 0 2 24 0 1 10 94
Forecasting daily time series using periodic unobserved components time series models 0 0 0 52 1 1 2 145
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 1 1 7 396 1 2 15 1,096
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 1 4 0 0 2 32
Forecasting football match results in national league competitions using score-driven time series models 1 2 9 55 1 5 28 215
Forecasting interest rates with shifting endpoints 0 0 1 27 0 0 1 98
Forecasting macroeconomic variables using collapsed dynamic factor analysis 1 1 8 70 3 3 11 196
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 1 1 1 21 1 1 3 100
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2 3 6 106 3 4 15 339
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 0 0 2 225
Global Credit Risk: World, Country and Industry Factors 0 0 0 7 0 0 3 91
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 4 30 0 0 10 98
Information-theoretic optimality of observation-driven time series models for continuous responses 0 0 2 22 0 0 5 64
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 0 0 69
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 0 23 0 1 3 119
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 0 0 28
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 0 1 20
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 0 9 0 1 2 22
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 1 36 0 0 3 117
Likelihood functions for state space models with diffuse initial conditions 0 1 4 39 0 1 8 122
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 2 15 0 0 6 73
Long memory dynamics for multivariate dependence under heavy tails 1 1 3 24 1 2 7 106
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 0 55
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 1 14 1 1 2 39
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 2 3 0 1 11 15
Maximum likelihood estimation for dynamic factor models with missing data 0 0 5 115 1 2 12 305
Maximum likelihood estimation for score-driven models 0 0 1 9 0 0 7 38
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 2 2 4 146 2 2 5 328
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 4 6 71 2 6 15 225
Missing observations in observation-driven time series models 0 0 0 6 0 1 3 23
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 1 82 0 0 2 205
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 0 0 0 252
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 0 0 3 19 2 3 13 74
Modelling trigonometric seasonal components for monthly economic time series 0 0 0 53 0 0 2 259
Model‐based measurement of latent risk in time series with applications 0 0 0 28 0 0 0 120
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 0 0 9
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 2 115 0 0 2 234
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 2 79 0 1 4 208
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 0 0 0 67
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 0 1 1 65
Nonlinear autoregressive models with optimality properties 0 0 0 2 1 1 2 15
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 1 2 5 94
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 1 1 16 1 2 2 61
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 43 1 2 5 195
Observation-driven filtering of time-varying parameters using moment conditions 0 2 5 6 1 3 10 11
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 0 0 3
Partially censored posterior for robust and efficient risk evaluation 0 1 1 1 0 2 2 17
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 1 1 2 118 3 3 5 299
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 0 1 114
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 2 6 41 1 3 16 161
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 2 19 1 2 6 87
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 0 0 0 58
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 1 2 151
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 1 1 1,461
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 1 1 89
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 4 43 0 1 18 164
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 0 0 147
State Space Models With a Common Stochastic Variance 0 0 0 115 0 0 1 193
Statistical Software for State Space Methods 0 0 0 26 0 0 2 162
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 0 0 4 1,284
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 0 0 26
Testing the assumptions behind importance sampling 0 0 0 67 1 1 2 272
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 1 32 1 1 3 128
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 2 6 908
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 2 6 0 2 6 22
The dynamic factor network model with an application to international trade 1 1 2 22 1 2 4 96
The information in systemic risk rankings 0 0 0 23 0 2 5 98
The multi-state latent factor intensity model for credit rating transitions 0 0 1 153 0 0 5 467
The stochastic volatility in mean model: empirical evidence from international stock markets 0 1 3 469 2 4 10 1,426
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 0 1 3 31
Time Series Modelling of Daily Tax Revenues 0 0 0 33 1 1 1 110
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 2 174 1 1 4 386
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 2 2 2 3 9 9
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 13 2 3 7 52
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 1 1 5 180 1 1 6 367
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 1 2 6 0 1 5 32
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 33 1 1 5 147
Total Journal Articles 17 39 188 6,774 70 148 604 25,015

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 0 2 11 379
Time Series Analysis by State Space Methods 0 0 0 0 11 37 188 2,217
Time Series Analysis by State Space Methods 0 0 0 0 8 20 124 1,253
Total Books 0 0 0 0 19 59 323 3,849

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MESSY TIME SERIES 0 0 0 0 0 0 0 1
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 1 1 2 3
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 1 1 3 3 1 1 4 4
Total Chapters 1 1 3 3 2 2 6 8

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