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 4 6 11 279 11 30 71 694
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 67 0 2 28 229
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 1 1 78 1 3 25 213
A Forty Year Assessment of Forecasting the Boat Race 0 0 1 79 0 2 10 90
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 4 122 2 5 30 329
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 3 175 0 2 23 433
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 0 0 2 30 0 2 23 59
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 1 1 8 482
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 1 1 6 31
A Novel Test for the Presence of Local Explosive Dynamics 0 1 3 19 0 4 23 33
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 4 5 21 137
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 1 6 1 1 8 18
A statistical model of the global carbon budget 0 0 0 38 2 3 20 100
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 42 2 3 15 86
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 1 3 23 595
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 0 1 38 1,279
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 1 308 1 3 24 768
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 0 0 14 65
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 0 8 99
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 0 0 9 64
Business and Default Cycles for Credit Risk 0 0 1 894 2 4 28 1,950
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 0 0 13 37
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 0 0 11 448
Computing Observation Weights for Signal Extraction and Filtering 1 1 2 262 1 1 22 646
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 1 25 1 1 12 114
Convergence in European GDP Series 0 0 0 490 0 0 13 2,277
Credit Cycles and Macro Fundamentals 0 0 0 285 1 1 12 881
Credit cycles and macro fundamentals 0 0 1 182 1 1 15 618
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 0 2 21 0 1 15 42
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 2 22 454
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 0 14 75
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 1 9 237
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 57 1 2 16 182
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 1 4 78 0 3 24 133
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 102 1 1 13 130
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 0 9 522
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 0 2 20 84
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 0 0 12 61
Exploring the crime drop in European Union homicide rates using econometric modelling 0 0 8 8 1 1 9 9
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 0 13 328
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 79 1 1 10 185
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 1 1 12 199
Fast Estimation of Parameters in State Space Models 0 0 0 0 1 1 6 860
Fast Filtering and Smoothing for Multivariate State Space Models 1 1 1 15 2 2 10 67
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 1 1 8 12
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 11 53
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 1 1 8 10
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 15 41
Finding the European crime drop using a panel data model with stochastic trends 0 0 1 13 0 0 13 21
Food prices and production in the aftermath of natural disasters: the case of Peru 0 0 1 4 0 2 21 28
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 0 10 285
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 353 0 0 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 3 18 2,512
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 1 159 3 12 37 241
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 4 5 18 219
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 182 0 0 11 421
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 0 1 41 1,143
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 0 1 12 88
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 1 1 2 95 3 5 17 152
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 92 3 4 22 207
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 2 3 14 2,128
Generalized Autoregressive Method of Moments 0 0 1 75 2 2 22 163
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 2 2 25 228
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 0 10 155
Global credit risk: world country and industry factors 0 0 0 32 1 2 14 122
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 2 2 8 63
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 3 17 81
Information Theoretic Optimality of Observation Driven Time Series Models 0 1 5 52 2 5 24 119
Interaction between Supply and Demand Shocks in Production and Employment 0 0 2 389 1 1 8 3,803
Interaction between supply and demand in production and employment 0 0 0 24 0 0 9 177
Intervention Time Series Analysis of Crime Rates 0 0 0 711 0 0 7 2,361
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 2 13 106
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 2 3 9 104
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 0 1 10 74
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 0 0 13 504
Likelihood-based Analysis for Dynamic Factor Models 0 0 0 294 0 0 24 592
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 0 48 2 2 25 187
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 134 1 2 15 360
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 1 48 0 1 61 269
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 52 0 0 11 108
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 0 0 12 175
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 0 0 21 209
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 3 4 19 137
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 0 1 17 2,525
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 0 0 12 95
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 0 0 11 17
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 0 0 14 777
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 0 93 0 0 11 146
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 366 2 2 13 908
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 1 1 9 123
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 3 12 92
Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data 0 0 1 9 3 4 18 25
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 95 0 0 14 249
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 2 2 16 779
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 1 2 15 693
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 56 0 0 11 166
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 78 0 2 20 262
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 2 92 1 2 11 144
Modelling bid-ask spreads in competitive dealership markets 0 1 1 1 1 2 9 33
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 1 1 6 13
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 0 0 12 198
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 56 1 1 35 205
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 10 137
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 2 2 14 132
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 1 77 4 4 13 166
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 1 2 10 166
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 50 1 2 13 177
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 0 3 33 6 7 27 75
On Importance Sampling for State Space Models 0 0 0 181 0 0 9 534
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 4 5 19 123
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 0 9 44
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 1 1 12 29
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 0 1 9 963
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 1 2 22 599
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 1 1 19 1,244
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 1 2 17 344
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 1 1 13 247
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 1 6 821
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 84 3 6 29 129
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 0 0 20 213
Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence 1 1 1 29 3 3 11 55
Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application 0 0 2 7 1 1 17 25
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 0 0 12 1,062
Score-driven time-varying parameter models with splinebased densities 0 0 3 29 0 0 26 32
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 0 2 6 657
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 0 14 80
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 1 2 7 17
Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods 1 1 3 18 1 2 16 21
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 12 232
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 0 2 3 8 8
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 5 5 24 141
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 3 20 170
Spline Smoothing over Difficult Regions 0 0 0 66 0 0 9 203
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 1 2 15 190
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 0 1 17 151
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 0 3 37 147
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 1 1 5 0 4 16 29
Statistical Early Warning Models with Applications 0 0 2 28 1 2 16 46
Stock Index Volatility Forecasting with High Frequency Data 0 0 0 859 0 3 14 2,232
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 0 2 13 223
Systemic Risk Diagnostics 0 0 0 93 1 2 11 223
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 1 1 16 484
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 1 1 8 64
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 2 2 13 91
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 2 18 512
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 0 4 129
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 3 3 23 81
The Dynamic Skellam Model with Applications 0 0 0 36 0 3 13 154
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 1 1 60 296
The Information in Systemic Risk Rankings 0 0 0 28 1 1 16 112
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 12 55
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 0 239 3 3 14 697
The Stochastic Volatility in Mean Model 0 0 0 493 2 2 12 1,117
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 87 2 4 31 145
The dynamic factor network model with an application to global credit risk 0 0 0 43 1 1 15 144
The information in systemic risk rankings 0 0 0 41 2 3 16 169
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 0 0 18 83
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 1 2 2 2 7 11
Time Series Modelling of Daily Tax Revenues 0 1 1 332 1 2 17 901
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 0 0 10 1,450
Time Varying Transition Probabilities for Markov Regime Switching Models 1 1 3 133 6 10 43 496
Time-Series Modelling of Daily Tax Revenues 0 0 1 291 0 0 9 1,079
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 0 0 17 47
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 0 1 19 237
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 0 7 959
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 1 1 86 1 3 24 166
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 1 2 16 59
Total Working Papers 10 21 109 20,810 174 320 2,751 64,432
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 1 58 1 1 34 234
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 3 32 18 18 35 149
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 53 13 14 28 234
A Novel Test for the Presence of Local Explosive Dynamics 0 1 1 1 0 2 12 12
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 2 4 68 7 27 56 311
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 0 0 8 320
A regression-based approach to the CO2 airborne fraction 0 0 0 0 0 1 10 11
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 2 0 0 18 28
A time-varying parameter model for local explosions 0 0 1 7 0 1 15 40
Accelerating score-driven time series models 0 0 0 23 0 1 15 107
Amendments and Corrections 0 0 0 1 0 0 6 16
An hourly periodic state space model for modelling French national electricity load 0 0 0 51 20 20 36 240
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 3 61 1 2 25 214
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting 0 0 2 2 0 0 8 8
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 0 0 7 32
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 1 1 1 1 12 24
Business and default cycles for credit risk 0 0 1 6 1 2 8 22
Business and default cycles for credit risk 0 0 0 454 0 1 16 1,257
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 0 1 1 1 7 10
Computing observation weights for signal extraction and filtering 1 1 6 203 1 1 32 511
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models 0 0 0 0 0 1 9 9
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 2 2 0 1 20 32
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 1 2 13 638
Credit cycles and macro fundamentals 0 0 0 201 0 3 11 605
Detecting shocks: Outliers and breaks in time series 0 0 1 138 0 0 20 371
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 0 2 20 801
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 0 1 9 74
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 1 31 0 2 16 147
Dynamic discrete copula models for high‐frequency stock price changes 0 1 1 2 0 2 16 42
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 13 14 27 38
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 1 13 0 2 10 70
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 2 78 0 0 12 277
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 14 0 1 10 126
Empirical credit cycles and capital buffer formation 0 0 1 143 1 2 24 421
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 1 1 178 0 1 15 393
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 0 8 113
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 2 1 1 12 27
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 484 1 1 15 1,105
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 1 17 205
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 11 52
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 138 20 20 36 404
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 8 1 1 15 44
Filtering and smoothing of state vector for diffuse state‐space models 0 0 8 400 0 1 22 750
Forecasting and nowcasting economic growth in the euro area using factor models 1 1 4 29 21 22 35 130
Forecasting daily time series using periodic unobserved components time series models 0 0 1 54 0 0 11 158
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 1 398 1 3 19 1,120
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 1 5 16 17 32 67
Forecasting football match results in national league competitions using score-driven time series models 0 2 6 64 5 14 49 274
Forecasting interest rates with shifting endpoints 0 0 0 27 3 3 15 118
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 0 1 73 20 20 36 236
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 22 1 1 12 116
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 3 7 116 6 11 44 392
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 0 1 18 244
Global Credit Risk: World, Country and Industry Factors 0 0 1 9 1 1 17 111
Identifying trend reversals in atmospheric ethane from a multi-site analysis 0 0 0 0 0 0 2 2
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 1 2 32 20 22 34 133
Information-theoretic optimality of observation-driven time series models for continuous responses 1 1 5 27 1 1 23 87
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 1 11 80
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 0 25 15 16 33 159
Intra-daily smoothing splines for time-varying regression models of hourly electricity load 0 0 0 1 0 0 3 6
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 2 3 19 48
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 1 1 1 3 1 3 12 33
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 2 12 0 1 13 39
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 1 37 0 0 10 128
Likelihood functions for state space models with diffuse initial conditions 0 0 0 39 0 0 12 135
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 1 16 13 13 31 106
Long memory dynamics for multivariate dependence under heavy tails 1 1 2 26 1 1 22 129
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 14 70
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 2 17 3 5 16 56
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 0 3 1 1 15 33
Maximum likelihood estimation for dynamic factor models with missing data 0 1 4 121 0 2 29 341
Maximum likelihood estimation for score-driven models 2 2 3 14 2 5 29 74
Measuring Growth Spillovers 0 0 0 0 1 1 7 7
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 2 150 0 1 14 346
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 0 71 0 0 17 250
Missing observations in observation-driven time series models 0 0 0 6 2 3 16 40
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 2 84 0 0 35 240
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 0 0 17 270
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 0 1 5 24 0 2 25 101
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 54 1 2 22 283
Model‐based measurement of latent risk in time series with applications 0 0 0 28 17 18 29 149
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 0 4 14
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 1 117 0 0 10 246
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 1 1 80 0 2 12 221
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 0 1 9 77
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 17 17 32 97
Nonlinear autoregressive models with optimality properties 1 1 1 4 1 3 12 28
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 18 19 28 123
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 0 0 11 73
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 46 0 1 16 214
Observation-driven filtering of time-varying parameters using moment conditions 0 1 2 9 0 3 13 27
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 0 11 14
Partially censored posterior for robust and efficient risk evaluation 0 0 0 1 1 2 7 27
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 0 118 1 2 20 320
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 0 13 129
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 1 2 4 46 3 6 24 192
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 20 0 2 18 109
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 0 2 15 76
Seasonality with trend and cycle interactions in unobserved components models 0 1 1 37 0 1 11 162
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 14 1,475
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 2 3 13 102
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 46 1 1 16 190
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 1 11 159
State Space Models With a Common Stochastic Variance 0 0 0 115 16 16 30 224
Statistical Software for State Space Methods 0 1 1 27 0 1 6 169
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 2 5 29 1,317
Testing for Parameter Instability across Different Modeling Frameworks 0 0 1 5 0 1 16 44
Testing the assumptions behind importance sampling 0 0 0 67 1 2 12 286
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 1 2 2 34 1 2 15 145
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 1 14 922
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 0 7 1 3 23 50
The dynamic factor network model with an application to international trade 0 0 0 22 1 2 13 112
The information in systemic risk rankings 0 0 0 23 0 0 8 108
The multi-state latent factor intensity model for credit rating transitions 1 1 4 157 3 5 17 487
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 1 472 1 3 14 1,446
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 0 2 14 46
Time Series Modelling of Daily Tax Revenues 0 0 0 33 20 20 30 140
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 1 176 0 1 16 404
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 0 2 20 31
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 7 21 2 4 46 103
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 1 1 1 181 13 14 29 398
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 1 7 0 4 25 61
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors 1 1 2 3 1 1 9 18
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 0 14 163
Total Journal Articles 15 33 139 6,971 363 501 2,274 27,584

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 2 21 404
Time Series Analysis by State Space Methods 0 0 0 0 19 61 267 2,553
Time Series Analysis by State Space Methods 0 0 0 0 5 24 119 1,421
Total Books 0 0 0 0 25 87 407 4,378

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Continuous Time State Space Modelling with an Application to High-Frequency Road Traffic Data 0 0 0 0 0 0 5 5
MESSY TIME SERIES 0 0 1 1 14 14 18 19
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 20 20 30 35
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility 0 0 0 0 0 0 0 0
State Space Methods for Latent Trajectory and Parameter Estimation by Maximum Likelihood 0 0 0 0 0 0 4 4
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 0 0 0 5 0 0 3 9
Total Chapters 0 0 1 6 34 34 60 72

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