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 2 4 6 273 8 13 34 652
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 67 2 13 20 221
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 15 18 205
A Forty Year Assessment of Forecasting the Boat Race 0 1 1 79 0 4 8 87
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 1 119 2 10 18 315
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 2 174 4 7 19 428
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 0 0 3 30 2 12 24 54
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 1 3 17 481
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 3 3 28
A Novel Test for the Presence of Local Explosive Dynamics 0 0 2 17 1 8 17 25
A Time-Varying Parameter Model for Local Explosions 0 1 2 71 1 4 13 128
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 1 6 0 1 4 13
A statistical model of the global carbon budget 0 0 1 38 0 8 14 93
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 1 42 3 8 14 82
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 2 7 21 590
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 10 18 38 1,272
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 1 307 3 5 19 758
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 2 7 12 63
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 3 6 96
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 0 4 8 61
Business and Default Cycles for Credit Risk 0 0 1 894 1 8 15 1,936
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 0 4 9 32
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 0 5 10 445
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 1 9 15 638
Constructing seasonally adjusted data with time-varying confidence intervals 0 1 1 25 0 3 7 109
Convergence in European GDP Series 0 0 0 490 1 4 10 2,274
Credit Cycles and Macro Fundamentals 0 0 0 285 0 4 8 875
Credit cycles and macro fundamentals 0 0 2 182 1 11 16 616
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 0 3 21 2 4 10 36
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 7 20 449
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 3 9 13 73
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 1 1 67 2 4 8 234
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 57 0 7 17 179
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 3 77 1 11 23 128
Empirical Bayes Methods for Dynamic Factor Models 0 1 1 102 0 4 12 127
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 3 6 519
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 2 6 13 77
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 5 10 58
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 8 10 325
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 0 5 11 184
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 7 11 197
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 3 4 858
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 1 4 6 9
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 14 0 4 6 63
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 5 10 51
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 1 3 7 9
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 2 7 16 40
Finding the European crime drop using a panel data model with stochastic trends 0 0 1 13 1 3 11 18
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 3 10 285
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 353 1 9 14 1,155
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 1 956 0 6 14 2,507
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 1 1 3 159 5 13 27 222
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 0 7 10 211
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 182 2 6 6 416
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 1 21 39 1,141
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 1 3 8 82
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 1 2 94 2 6 14 144
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 1 1 92 1 13 19 202
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 1 7 11 2,125
Generalized Autoregressive Method of Moments 0 1 1 75 2 9 14 154
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 1 6 20 221
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 1 6 9 154
Global credit risk: world country and industry factors 0 0 0 32 1 4 9 116
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 2 5 59
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 7 10 74
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 2 49 0 6 16 109
Interaction between Supply and Demand Shocks in Production and Employment 0 2 2 389 0 6 7 3,801
Interaction between supply and demand in production and employment 0 0 0 24 0 5 6 174
Intervention Time Series Analysis of Crime Rates 0 0 0 711 1 3 6 2,359
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 3 6 8 100
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 0 4 99
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 1 3 5 69
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 0 1 28 1 3 6 49
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 2 9 9 500
Likelihood-based Analysis for Dynamic Factor Models 0 0 1 294 3 12 24 590
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 0 48 1 10 18 179
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 134 1 6 10 355
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 1 48 10 48 54 262
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 1 5 11 105
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 1 5 10 173
Maximum Likelihood Estimation for Score-Driven Models 1 1 1 60 2 11 20 206
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 0 4 11 128
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 1 12 14 2,522
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 0 2 12 93
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 1 6 10 16
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 1 7 10 773
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 1 93 1 6 11 144
Measuring Synchronisation and Convergence of Business Cycles 0 0 0 365 0 2 7 901
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 2 4 8 120
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 0 4 7 87
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 1 95 2 10 18 248
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 3 6 8 771
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 1 3 10 688
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 1 1 56 0 5 9 162
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 78 0 6 14 253
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 2 2 92 0 2 6 139
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 1 4 5 12
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 4 6 30
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 2 10 10 196
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 56 5 29 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 5 10 134
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 8 14 130
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 1 77 1 4 8 160
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 2 7 163
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 1 2 50 0 6 13 173
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 1 3 33 0 8 21 65
On Importance Sampling for State Space Models 0 0 0 181 1 4 8 532
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 6 13 114
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 4 6 41
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 1 5 9 26
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 0 4 7 960
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 2 14 18 595
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 2 6 13 1,236
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 2 11 14 341
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 1 5 11 244
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 4 8 820
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 1 84 1 10 21 120
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 0 5 13 206
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 0 6 9 1,059
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 0 2 5 654
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 1 7 11 77
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 0 3 3 13
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 1 2 8 227
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 1 2 70 2 8 16 133
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 4 14 163
Spline Smoothing over Difficult Regions 0 0 0 66 1 2 8 201
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 0 5 10 185
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 1 1 61 4 9 18 149
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 6 24 31 141
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 0 1 8 21
Statistical Early Warning Models with Applications 0 0 2 27 1 9 19 42
Stock Index Volatility Forecasting with High Frequency Data 0 0 1 859 1 3 12 2,224
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 1 7 10 218
Systemic Risk Diagnostics 0 0 0 93 1 4 8 220
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 1 5 14 481
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 1 3 7 62
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 3 10 88
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 10 14 507
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 2 2 127
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 3 10 17 74
The Dynamic Skellam Model with Applications 0 0 1 36 1 5 11 150
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 5 43 53 289
The Information in Systemic Risk Rankings 0 0 0 28 0 5 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 1 6 13 52
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 2 239 0 4 11 690
The Stochastic Volatility in Mean Model 0 0 0 493 1 4 9 1,111
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 87 2 15 23 134
The dynamic factor network model with an application to global credit risk 0 0 0 43 2 9 12 141
The information in systemic risk rankings 0 0 0 41 0 7 10 163
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 1 0 1 2 6
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 1 11 15 80
Time Series Modelling of Daily Tax Revenues 0 0 0 331 3 8 14 897
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 0 5 8 1,448
Time Varying Transition Probabilities for Markov Regime Switching Models 1 1 3 132 6 11 26 474
Time-Series Modelling of Daily Tax Revenues 0 0 1 291 0 7 9 1,079
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 0 10 14 44
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 1 3 8 958
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 2 13 15 233
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 1 9 17 159
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 1 7 13 55
Total Working Papers 5 26 84 20,704 199 1,125 2,075 63,496
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 0 0 57 2 17 29 229
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 30 3 10 14 126
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 1 10 13 218
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 0 2 65 1 11 23 276
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 1 4 7 318
A regression-based approach to the CO2 airborne fraction 0 0 0 0 1 5 6 7
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 2 1 9 17 25
A time-varying parameter model for local explosions 0 1 1 7 2 10 13 38
Accelerating score-driven time series models 0 0 1 23 0 6 13 104
Amendments and Corrections 0 0 0 1 0 1 5 15
An hourly periodic state space model for modelling French national electricity load 0 0 1 51 0 8 16 217
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 2 59 1 8 22 207
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 1 3 6 31
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 0 0 0 4 9 18
Business and default cycles for credit risk 0 0 1 454 1 9 12 1,252
Business and default cycles for credit risk 0 0 2 6 1 4 6 19
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 1 1 2 3 6 8
Computing observation weights for signal extraction and filtering 2 3 8 201 2 14 35 501
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 1 2 2 2 12 19 30
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 1 5 9 633
Credit cycles and macro fundamentals 0 0 0 201 0 4 7 599
Detecting shocks: Outliers and breaks in time series 0 1 1 138 0 10 18 368
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 12 17 796
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 0 4 6 71
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 1 1 31 0 5 13 141
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 4 8 12 36
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 1 10 13 22
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 1 6 8 67
Economic Trends and Cycles in Crime: A Study for England and Wales 0 1 1 77 0 3 10 273
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 14 1 5 10 123
Empirical credit cycles and capital buffer formation 0 0 1 143 0 16 20 416
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 0 177 1 11 13 390
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 5 6 111
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 2 2 5 6 21
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 484 1 9 12 1,100
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 2 7 13 201
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 1 8 13 52
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 138 0 5 10 377
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 8 0 6 14 43
Filtering and smoothing of state vector for diffuse state‐space models 1 2 7 398 1 9 22 745
Forecasting and nowcasting economic growth in the euro area using factor models 0 2 4 28 1 8 11 105
Forecasting daily time series using periodic unobserved components time series models 0 0 1 53 1 4 8 153
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 1 398 1 10 18 1,116
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 4 2 7 16 48
Forecasting football match results in national league competitions using score-driven time series models 0 0 4 60 2 10 31 248
Forecasting interest rates with shifting endpoints 0 0 0 27 0 3 14 112
Forecasting macroeconomic variables using collapsed dynamic factor analysis 1 1 2 73 1 8 19 216
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 22 1 6 12 112
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 1 6 113 1 11 31 371
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 2 12 16 241
Global Credit Risk: World, Country and Industry Factors 0 0 2 9 3 9 16 107
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 1 1 31 2 6 11 109
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 3 25 2 7 17 81
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 5 8 77
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 2 25 2 9 18 137
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 5 14 42
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 6 8 28
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 1 3 12 0 5 10 35
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 1 1 1 37 2 8 10 127
Likelihood functions for state space models with diffuse initial conditions 0 0 0 39 1 8 10 133
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 1 1 16 2 10 17 90
Long memory dynamics for multivariate dependence under heavy tails 0 1 1 25 0 10 14 120
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 6 14 69
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 3 17 0 3 9 48
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 0 3 1 8 13 30
Maximum likelihood estimation for dynamic factor models with missing data 1 2 4 120 3 12 28 334
Maximum likelihood estimation for score-driven models 0 1 3 12 0 12 27 67
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 1 4 150 0 3 15 343
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 0 71 2 13 22 247
Missing observations in observation-driven time series models 0 0 0 6 0 4 10 33
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 2 2 2 84 2 17 34 239
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 2 9 15 267
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 1 2 3 22 2 9 21 95
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 54 1 10 17 276
Model‐based measurement of latent risk in time series with applications 0 0 0 28 2 5 7 127
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 3 5 14
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 1 117 0 5 9 245
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 0 79 1 2 8 216
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 1 6 9 76
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 1 4 11 76
Nonlinear autoregressive models with optimality properties 0 0 0 3 0 5 8 24
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 3 7 101
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 0 5 10 71
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 45 2 7 14 209
Observation-driven filtering of time-varying parameters using moment conditions 0 1 2 8 0 5 11 22
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 2 8 11
Partially censored posterior for robust and efficient risk evaluation 0 0 0 1 0 3 8 25
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 0 118 0 8 15 314
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 10 14 128
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 1 1 2 43 1 8 23 184
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 20 2 6 15 102
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 0 5 12 70
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 6 7 158
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 3 9 1,470
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 7 8 97
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 0 5 24 188
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 1 4 8 155
State Space Models With a Common Stochastic Variance 0 0 0 115 0 9 14 207
Statistical Software for State Space Methods 0 0 0 26 0 2 6 168
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 2 15 22 1,306
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 5 11 37
Testing the assumptions behind importance sampling 0 0 0 67 0 5 10 282
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 0 32 1 5 11 139
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 6 11 919
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 1 7 3 12 20 42
The dynamic factor network model with an application to international trade 0 0 0 22 2 5 9 105
The information in systemic risk rankings 0 0 0 23 0 3 8 106
The multi-state latent factor intensity model for credit rating transitions 1 1 2 155 1 4 8 475
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 2 472 0 4 14 1,441
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 2 8 12 43
Time Series Modelling of Daily Tax Revenues 0 0 0 33 0 4 6 116
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 1 175 0 6 15 401
Time-Varying Parameters in Econometrics: The editor’s foreword 0 1 3 5 0 9 16 25
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 4 8 21 7 22 38 91
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 0 180 0 10 15 382
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 0 6 1 8 20 52
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 6 13 160
Total Journal Articles 11 36 121 6,909 110 839 1,606 26,660

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 6 15 395
Time Series Analysis by State Space Methods 0 0 0 0 7 24 108 1,367
Time Series Analysis by State Space Methods 0 0 0 0 24 85 221 2,441
Total Books 0 0 0 0 32 115 344 4,203

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MESSY TIME SERIES 1 1 1 1 1 3 4 5
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 1 3 7 10
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 0 0 1 5 2 3 4 9
Total Chapters 1 1 2 6 4 9 15 24

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