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 2 6 259 0 6 21 586
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 64 0 0 2 194
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 1 75 1 4 13 159
A Forty Year Assessment of Forecasting the Boat Race 0 0 1 73 0 0 4 70
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 1 169 1 2 7 393
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 113 2 2 8 280
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 122 0 1 6 460
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 1 22
A Time-Varying Parameter Model for Local Explosions 1 1 2 68 1 9 21 94
A statistical model of the global carbon budget 0 2 10 30 1 5 25 59
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 1 2 37 0 2 4 53
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 1 230 1 3 5 569
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 4 15 36 1,167
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 2 7 292 2 4 35 699
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 1 60 0 1 4 48
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 1 3 88
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 40 1 1 2 45
Business and Default Cycles for Credit Risk 0 0 5 886 1 5 23 1,893
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 1 20 0 0 5 21
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 2 187 0 0 9 406
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 259 0 0 4 619
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 24 0 1 1 98
Convergence in European GDP Series 1 1 2 490 1 2 8 2,262
Credit Cycles and Macro Fundamentals 0 0 2 285 0 1 12 851
Credit cycles and macro fundamentals 0 0 2 179 0 2 20 584
Dynamic Factor Analysis in The Presence of Missing Data 1 1 6 202 2 5 13 394
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 2 17 1 2 7 52
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 0 1 222
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 54 1 1 6 157
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 0 68 0 0 5 87
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 101 0 0 3 106
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 1 70 0 0 5 508
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 1 8 1 6 11 56
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 2 3 5 40
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 0 0 313
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 76 0 0 4 152
Fast Efficient Importance Sampling by State Space Methods 0 0 1 79 0 0 3 183
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 0 0 851
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 12 0 0 2 47
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 0 0 2
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 14 0 0 2 36
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 1 22
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * 0 0 0 4 0 0 1 21
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 1 1 5 264
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 1 2 351 1 3 10 1,132
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 1 950 1 1 12 2,478
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 2 142 2 4 11 138
Forecasting Interest Rates with Shifting Endpoints 0 1 3 78 0 2 9 194
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 1 180 0 1 6 405
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 0 0 9 1,095
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 0 1 4 69
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 1 1 4 88 3 4 12 105
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 90 1 2 6 175
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 0 3 2,111
Generalized Autoregressive Method of Moments 0 0 0 73 0 3 14 123
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 0 0 1 198
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 4 21 133
Global credit risk: world country and industry factors 0 0 0 31 0 1 9 100
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 1 15 0 0 3 53
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 2 59 0 0 6 59
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 0 45 0 0 6 87
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 0 0 3,792
Interaction between supply and demand in production and employment 0 0 0 23 0 0 0 165
Intervention Time Series Analysis of Crime Rates 0 0 2 710 0 0 6 2,349
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 0 4 87
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 2 3 94
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 1 72 0 0 2 62
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 0 2 25 1 4 6 33
Likelihood Functions for State Space Models with Diffuse Initial Conditions 1 1 1 164 2 3 5 480
Likelihood-based Analysis for Dynamic Factor Models 0 0 2 289 0 0 10 553
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 1 47 0 2 16 151
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 1 133 1 1 5 344
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 0 0 5 203
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 1 1 3 49 1 1 5 88
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 1 57 0 1 5 158
Maximum Likelihood Estimation for Score-Driven Models 1 1 3 58 3 3 12 179
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 1 47 0 0 7 105
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 2 1,036 0 1 5 2,499
Maximum likelihood estimation for dynamic factor models with missing data 0 1 2 9 0 1 5 75
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 1 1 220 0 1 1 759
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 2 88 0 0 6 121
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 363 0 1 6 885
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 6 6 16 92
Missing Observations in Observation-Driven Time Series Models 0 0 0 45 1 3 6 74
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 1 89 2 7 33 199
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 1 232 0 0 5 760
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 151 0 0 2 673
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 52 1 1 5 148
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 1 76 0 1 3 231
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 7 86 0 0 21 116
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 2 22
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 0 5
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 67 0 0 4 174
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 54 1 1 6 163
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 2 6 109
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 2 5 106 0 5 11 108
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 1 1 73 0 1 2 147
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 1 1 55 0 1 2 152
Observation driven mixed-measurement dynamic factor models with an application to credit risk 1 1 2 42 1 1 4 147
On Importance Sampling for State Space Models 0 0 1 180 0 1 3 522
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 2 52 1 1 8 96
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 0 3 33
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 0 0 1 17
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 352 1 1 2 951
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 176 0 0 1 573
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 1 3 477 1 2 6 1,216
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 112 0 1 4 324
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 2 92 0 2 15 227
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 0 3 809
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 2 3 81 0 2 9 88
Regime switches in the volatility and correlation of financial institutions 0 0 0 98 0 1 3 181
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 3 244 0 0 9 1,047
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 1 217 1 5 9 633
Signal Extraction and the Formulation of Unobserved Components Models 1 1 1 19 2 2 3 64
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 0 0 0 2 6
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 96 0 0 3 216
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 64 0 2 8 104
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 44 0 2 7 140
Spline Smoothing over Difficult Regions 0 0 1 65 0 0 2 188
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 2 55 0 0 5 163
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 58 0 0 4 124
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 2 3 0 0 2 6
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 1 4 19 0 3 10 99
Stock Index Volatility Forecasting with High Frequency Data 0 0 3 857 2 3 9 2,207
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 1 51 0 0 2 207
Systemic Risk Diagnostics 0 0 1 93 0 0 2 210
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 1 147 0 1 11 459
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 1 27 0 0 2 54
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 1 19 0 0 5 71
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 0 1 490
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 1 76 0 2 3 123
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 0 0 3 56
The Dynamic Skellam Model with Applications 0 0 2 32 0 0 3 125
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 85 0 0 2 232
The Information in Systemic Risk Rankings 0 0 1 26 0 0 1 87
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 1 3 33
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 3 235 0 2 13 673
The Stochastic Volatility in Mean Model 0 0 3 492 1 1 7 1,096
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 2 2 2 76 3 7 11 75
The dynamic factor network model with an application to global credit risk 0 0 1 40 0 0 4 124
The information in systemic risk rankings 0 1 2 39 0 2 4 135
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 0 0 0 0 0
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 16 0 0 0 62
Time Series Modelling of Daily Tax Revenues 0 0 0 329 0 0 3 879
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 1 482 0 1 4 1,434
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 4 121 3 4 22 398
Time-Series Modelling of Daily Tax Revenues 0 0 0 290 0 0 0 1,068
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 3 34 0 2 7 24
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 1 272 0 0 1 947
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 1 44 0 0 5 217
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 1 3 84 0 1 12 135
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 1 3 36 1 2 8 26
Total Working Papers 12 35 189 20,206 70 215 1,007 59,864
4 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 0 0 55 0 0 1 193
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 26 0 1 4 97
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 2 50 0 0 5 197
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 1 1 15 49 4 9 45 199
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 1 67 0 0 3 301
A time-varying parameter model for local explosions 0 0 2 2 1 2 8 8
Accelerating score-driven time series models 0 0 4 14 1 2 13 73
Amendments and Corrections 0 0 0 1 1 1 3 9
An hourly periodic state space model for modelling French national electricity load 0 0 0 48 1 1 2 193
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 3 43 0 0 6 151
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 1 2 0 0 3 22
Business and default cycles for credit risk 0 1 2 2 0 1 6 9
Business and default cycles for credit risk 1 1 4 452 1 4 22 1,223
Computing observation weights for signal extraction and filtering 3 3 6 163 4 5 23 409
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 0 0 0 0 3 11
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 1 1 1 176 1 2 6 624
Credit cycles and macro fundamentals 0 0 3 197 0 1 7 564
Detecting shocks: Outliers and breaks in time series 1 1 1 128 2 3 5 334
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 3 10 758
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 11 0 0 0 60
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 0 25 0 0 5 119
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 1 5 19
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 2 4 4 0 2 6 6
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 0 0 5 53
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 0 71 0 1 5 255
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 13 0 1 6 110
Empirical credit cycles and capital buffer formation 0 0 1 141 0 0 4 391
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 0 175 0 0 1 371
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 1 1 105
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 2 7 474 0 5 12 1,058
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 1 3 182
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 0 37
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 132 0 2 7 353
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 1 3 1 1 6 14
Filtering and smoothing of state vector for diffuse state‐space models 0 1 13 367 1 2 21 686
Forecasting and nowcasting economic growth in the euro area using factor models 1 1 3 19 1 1 8 76
Forecasting daily time series using periodic unobserved components time series models 0 1 1 51 0 2 2 140
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 4 21 375 2 10 53 1,056
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 2 2 0 0 4 24
Forecasting football match results in national league competitions using score-driven time series models 0 1 9 35 2 5 32 155
Forecasting interest rates with shifting endpoints 0 0 1 23 0 0 5 93
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 1 9 57 0 2 27 170
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 19 0 1 6 91
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 3 12 90 2 6 27 295
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 0 0 1 222
Global Credit Risk: World, Country and Industry Factors 0 0 0 7 0 1 12 81
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 6 23 0 0 12 80
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 2 16 0 1 5 53
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 0 2 69
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 1 22 0 0 6 113
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 1 5 25
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 0 0 19
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 6 6 1 1 9 9
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 2 35 0 0 3 114
Likelihood functions for state space models with diffuse initial conditions 1 1 4 29 1 2 7 104
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 12 0 0 2 64
Long memory dynamics for multivariate dependence under heavy tails 0 0 0 13 0 0 2 86
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 5 54
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 2 10 0 0 4 31
Maximum likelihood estimation for dynamic factor models with missing data 1 2 5 104 2 4 9 282
Maximum likelihood estimation for score-driven models 0 1 4 4 1 3 13 13
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 1 141 0 0 6 321
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 1 1 11 64 1 4 24 194
Missing observations in observation-driven time series models 1 1 3 5 2 4 8 15
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 5 79 0 0 8 197
Modeling frailty-correlated defaults using many macroeconomic covariates 1 1 3 64 1 3 7 245
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 0 0 4 11 2 3 20 44
Modelling trigonometric seasonal components for monthly economic time series 1 1 2 51 1 1 2 251
Model‐based measurement of latent risk in time series with applications 0 0 0 27 0 0 0 117
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 1 1 0 0 1 9
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 1 4 110 0 1 7 226
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 0 76 0 0 2 203
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 1 5 0 1 7 66
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 0 0 1 63
Nonlinear autoregressive models with optimality properties 0 0 0 2 0 0 1 13
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 1 3 88
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 15 0 1 3 58
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 36 1 1 9 181
Partially censored posterior for robust and efficient risk evaluation 0 0 0 0 0 0 2 14
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 1 2 110 0 2 5 282
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 1 2 5 113
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 2 3 8 29 3 9 30 131
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 8 17 1 4 32 77
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 12 0 1 4 53
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 1 6 147
Signal extraction and the formulation of unobserved components models 0 0 0 4 1 1 2 1,460
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 0 1 88
Spillover dynamics for systemic risk measurement using spatial financial time series models 1 1 9 29 1 3 18 127
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 3 14 140
State Space Models With a Common Stochastic Variance 0 1 2 115 0 1 3 192
Statistical Software for State Space Methods 0 0 2 26 0 1 6 158
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 0 2 13 1,274
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 3 0 0 0 24
Testing the assumptions behind importance sampling 0 0 1 66 0 0 4 268
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 1 31 1 4 8 120
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 0 5 893
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 1 1 2 0 2 4 11
The dynamic factor network model with an application to international trade 0 0 6 17 0 3 26 84
The information in systemic risk rankings 0 1 2 18 0 2 7 82
The multi-state latent factor intensity model for credit rating transitions 0 1 2 150 1 4 14 452
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 1 3 0 1 5 27
The stochastic volatility in mean model: empirical evidence from international stock markets 0 1 1 466 0 3 6 1,412
Time Series Modelling of Daily Tax Revenues 0 0 0 33 0 0 1 109
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 0 170 0 0 4 376
Time-Varying Transition Probabilities for Markov Regime Switching Models 1 1 1 10 1 1 6 40
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 0 170 0 0 2 351
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 1 1 1 0 1 7 14
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 2 3 6 32 2 6 18 136
Total Journal Articles 21 50 253 6,333 52 169 890 23,659


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 2 6 31 338
Time Series Analysis by State Space Methods 0 0 0 0 22 55 231 1,802
Time Series Analysis by State Space Methods 0 0 0 0 9 21 105 996
Total Books 0 0 0 0 33 82 367 3,136


Statistics updated 2022-11-05