Access Statistics for Siem Jan Koopman

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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 7 232 1 3 18 465
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 2 62 2 7 12 169
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 71 2 4 10 113
A Forty Year Assessment of Forecasting the Boat Race 0 0 0 72 0 1 3 60
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 2 166 4 8 13 367
A General Framework for Observation Driven Time-Varying Parameter Models 1 1 3 108 3 3 11 249
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 241 5 6 8 589
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 1 1 114 5 7 7 424
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 1 14
A Time-Varying Parameter Model for Local Explosions 0 2 59 59 2 4 36 36
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 3 32 1 1 14 29
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 1 226 0 1 5 540
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 0 1 12 1,053
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 2 3 278 2 6 13 613
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 2 58 1 1 10 29
Bayesian Risk Forecasting for Long Horizons 1 1 37 37 2 3 60 60
Business and Default Cycles for Credit Risk 2 4 11 876 3 6 23 1,818
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 1 181 2 3 19 373
Computing Observation Weights for Signal Extraction and Filtering 0 1 2 258 0 1 6 600
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 23 2 2 6 87
Convergence in European GDP Series 0 0 0 481 2 2 6 2,228
Credit Cycles and Macro Fundamentals 0 0 0 283 0 0 2 810
Credit cycles and macro fundamentals 0 0 2 175 1 1 6 516
Dynamic Factor Analysis in The Presence of Missing Data 0 0 4 188 1 3 20 344
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 65 2 2 3 209
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 49 1 1 9 121
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 2 4 63 1 3 5 57
Empirical Bayes Methods for Dynamic Factor Models 0 1 3 99 1 2 13 85
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 69 3 3 6 488
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 1 4 14
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 1 96 0 0 4 299
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 0 69 2 4 4 129
Fast Efficient Importance Sampling by State Space Methods 1 1 3 60 1 1 11 139
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 0 2 835
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 1 10 1 1 3 22
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 14 0 0 2 24
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 1 10
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * 0 0 0 3 0 0 1 11
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 70 0 1 1 235
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 1 3 342 0 1 12 1,078
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 2 938 1 3 13 2,431
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 1 1 8 126 3 7 20 76
Forecasting Interest Rates with Shifting Endpoints 0 0 1 73 0 2 9 174
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 4 168 0 2 15 362
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 1 2 7 1,057
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 3 7 51 2 6 23 38
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 89 0 3 7 144
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 1 807 0 0 2 2,092
Generalized Autoregressive Method of Moments 0 0 2 66 0 0 10 54
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 1 3 9 173
Global Credit Risk: World, Country and Industry Factors 0 0 1 26 1 1 5 74
Global credit risk: world country and industry factors 0 0 0 28 4 6 17 57
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 14 0 0 3 42
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 1 53 1 2 7 32
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 0 42 1 5 12 54
Interaction between Supply and Demand Shocks in Production and Employment 0 0 1 387 0 0 1 3,778
Interaction between supply and demand in production and employment 0 0 2 21 0 1 6 152
Intervention Time Series Analysis of Crime Rates 0 0 0 706 0 0 2 2,326
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 0 1 65
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 6 30 1 1 13 68
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 1 1 2 70 2 3 5 55
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 1 162 2 3 10 458
Likelihood-based Analysis for Dynamic Factor Models 0 0 4 280 2 5 15 517
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 3 45 0 2 9 96
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 128 1 3 3 302
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 1 1 2 171
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 1 1 3 45 1 2 7 70
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 1 1 56 1 2 4 138
Maximum Likelihood Estimation for Score-Driven Models 0 1 5 43 3 6 23 120
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 39 4 6 12 77
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 1 1,031 0 2 10 2,476
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 5 1 3 24 40
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 2 217 0 4 10 742
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 3 77 2 3 13 74
Measuring Synchronisation and Convergence of Business Cycles 0 0 0 359 0 0 1 862
Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area 1 3 13 54 2 5 40 131
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 0 8 50
Missing Observations in Observation-Driven Time Series Models 0 1 1 43 4 5 14 38
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 2 16 79 3 6 32 104
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 230 0 0 3 743
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 1 150 0 1 5 658
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 2 50 0 1 9 120
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 74 3 3 6 217
Modeling the business and financial cycle in a multivariate structural time series model 1 4 8 42 3 9 43 77
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 0 9
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 3 65 0 1 15 142
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 1 2 52 1 3 7 118
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 3 14 35 57
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 1 99 0 0 3 68
Nowcasting and forecasting economic growth in the euro area using principal components 0 0 2 112 0 0 6 122
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 1 3 70 0 3 6 126
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 53 0 0 9 121
Observation driven mixed-measurement dynamic factor models with an application to credit risk 1 1 6 35 1 3 29 108
On Importance Sampling for State Space Models 0 0 0 179 0 0 0 511
Optimal Formulations for Nonlinear Autoregressive Processes 1 1 2 46 4 7 14 69
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 352 0 1 9 936
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 1 175 0 1 9 552
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 9 470 1 3 16 1,187
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 112 1 1 3 306
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 4 87 2 4 15 190
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 2 307 0 0 2 786
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 75 2 7 12 57
Regime switches in the volatility and correlation of financial institutions 0 0 1 96 1 1 3 163
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 2 240 0 0 5 1,027
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 1 210 1 3 6 596
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 15 1 1 2 46
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 1 92 1 2 4 192
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 1 58 1 2 6 70
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 35 3 4 13 95
Spline Smoothing over Difficult Regions 0 0 1 64 0 2 4 176
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 1 52 1 2 9 138
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 2 54 0 0 4 109
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 2 10 4 7 13 61
Stock Index Volatility Forecasting with High Frequency Data 1 2 3 842 3 4 9 2,149
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 1 47 0 0 4 190
Systemic Risk Diagnostics 0 0 0 92 1 1 4 190
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 144 0 3 20 415
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 2 25 2 3 6 40
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 2 18 0 1 5 48
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 3 3 7 477
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 1 3 74 0 2 5 102
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 12 2 3 3 29
The Dynamic Skellam Model with Applications 0 0 5 22 0 2 12 98
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 2 3 211
The Information in Systemic Risk Rankings 0 1 2 25 0 1 10 71
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 3 6 20
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 1 1 1 226 1 2 3 627
The Stochastic Volatility in Mean Model 0 0 0 486 2 2 5 1,072
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 3 68 3 5 19 34
The dynamic factor network model with an application to global credit risk 0 1 2 38 2 3 5 99
The information in systemic risk rankings 0 1 3 32 2 9 31 91
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 14 0 0 2 46
Time Series Modelling of Daily Tax Revenues 0 2 3 324 0 4 7 848
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 480 0 0 2 1,418
Time Varying Transition Probabilities for Markov Regime Switching Models 1 4 11 89 5 14 47 256
Time-Series Modelling of Daily Tax Revenues 0 0 0 289 0 0 5 1,055
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 270 0 1 3 931
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 42 2 3 6 195
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 1 2 17 72 5 13 49 68
Total Working Papers 16 56 368 19,644 165 369 1,429 55,845


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 3 10 3 6 13 45
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 49 2 5 16 156
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 46 3 3 8 175
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 1 4 11 21 5 12 30 67
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 1 64 1 1 3 292
Amendments and Corrections 0 0 0 0 0 0 0 0
An hourly periodic state space model for modelling French national electricity load 0 1 1 48 0 1 2 173
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 2 2 31 1 3 7 109
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 1 1 1 1 5 5
Business and default cycles for credit risk 2 4 17 437 4 15 54 1,142
Computing observation weights for signal extraction and filtering 0 1 4 150 5 8 22 352
Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals 0 0 0 49 0 0 3 279
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 1 1 174 0 2 6 604
Credit cycles and macro fundamentals 1 2 12 182 3 17 30 510
Detecting shocks: Outliers and breaks in time series 1 3 8 121 2 5 12 314
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 3 4 726
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 11 1 1 1 54
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 1 3 23 0 1 11 92
Dynamic discrete copula models for high‐frequency stock price changes 0 0 1 1 0 4 8 8
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 11 1 1 1 38
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 2 68 1 2 10 222
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 6 2 4 30 59
Empirical credit cycles and capital buffer formation 0 1 3 138 0 3 9 371
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 4 171 1 2 9 358
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 1 16 0 0 4 94
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 5 18 451 0 9 33 1,005
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 1 32 1 2 5 169
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 0 24
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 124 2 5 10 311
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 0 2 2
Filtering and smoothing of state vector for diffuse state-space models 1 2 10 332 1 2 16 610
Forecasting and nowcasting economic growth in the euro area using factor models 0 0 2 14 2 2 12 42
Forecasting daily time series using periodic unobserved components time series models 0 0 0 49 1 1 1 130
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 2 13 316 6 16 60 891
Forecasting football match results in national league competitions using score-driven time series models 0 1 1 1 4 11 17 17
Forecasting interest rates with shifting endpoints 0 1 3 22 1 2 5 72
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 1 2 32 1 3 12 100
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 17 0 1 3 67
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 1 7 66 1 3 30 209
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 40 1 5 5 196
Global Credit Risk: World, Country and Industry Factors 0 0 1 3 1 2 13 23
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 1 1 3 6 1 1 9 30
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 4 9 2 3 7 28
Interaction between structural and cyclical shocks in production and employment 0 0 0 19 0 0 2 57
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 4 19 3 8 23 85
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 0 0 2 3 3
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 1 2 2 2 2 3 7 13
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 0 32 0 0 2 105
Likelihood functions for state space models with diffuse initial conditions 0 2 2 23 0 2 4 80
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 11 1 1 6 45
Long memory dynamics for multivariate dependence under heavy tails 0 0 4 11 0 1 13 63
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 8 1 1 5 34
Maximum likelihood estimation for dynamic factor models with missing data 1 1 4 97 3 4 22 257
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 1 2 3 138 1 4 9 302
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 1 3 6 35 3 6 21 95
Model-based measurement of latent risk in time series with applications 0 0 0 26 1 4 5 108
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 1 2 2 66 2 3 9 163
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 2 58 2 3 12 215
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 49 0 0 4 239
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 0 0 1 1 1
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 6 96 0 0 14 198
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 2 69 0 0 6 179
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 1 4 3 4 7 28
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 13 0 0 0 56
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 1 16 3 3 7 60
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 2 14 0 2 7 40
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 4 24 2 6 34 124
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 0 106 1 2 3 265
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 20 0 0 2 92
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 1 10 1 2 13 54
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 2 3 4 4 2 8 9 9
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 6 1 1 2 25
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 35 0 0 2 123
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 1 1,448
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 1 30 0 1 2 81
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 6 1 3 12 59
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 1 27 0 1 7 100
State Space Models With a Common Stochastic Variance 0 0 0 111 0 1 1 185
Statistical Software for State Space Methods 0 0 1 23 1 2 8 142
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 3 6 19 1,215
Testing for Parameter Instability across Different Modeling Frameworks 1 1 1 3 2 2 5 13
Testing the assumptions behind importance sampling 1 1 2 60 1 1 5 240
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 0 28 0 0 5 91
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 3 9 35 848
The information in systemic risk rankings 1 1 1 11 2 3 13 50
The multi-state latent factor intensity model for credit rating transitions 0 0 7 128 0 3 15 382
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 5 461 2 4 24 1,376
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 0 2 2 2 2
Time Series Modelling of Daily Tax Revenues 0 0 0 31 0 1 1 100
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 1 1 1 168 1 1 9 357
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 2 5 2 5 12 19
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 1 3 164 0 3 10 329
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 2 4 20 4 6 22 80
Total Journal Articles 18 58 222 5,638 119 293 1,000 20,406


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 3 7 143
Time Series Analysis by State Space Methods 0 0 0 0 31 76 205 880
Time Series Analysis by State Space Methods 0 0 0 0 10 30 102 665
Total Books 0 0 0 0 43 109 314 1,688


Statistics updated 2019-09-09