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 1 2 268 0 2 9 620
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 66 0 0 2 201
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area 0 0 0 77 0 0 1 187
A Forty Year Assessment of Forecasting the Boat Race 0 0 2 78 0 1 6 80
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 118 0 1 5 298
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 0 1 2 410
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 1 1 2 28 2 4 11 34
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 122 6 6 7 470
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 1 25
A Novel Test for the Presence of Local Explosive Dynamics 1 1 16 16 1 2 10 10
A Time-Varying Parameter Model for Local Explosions 0 0 0 69 0 1 3 116
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 5 5 0 0 9 9
A statistical model of the global carbon budget 0 0 1 37 0 0 4 79
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 1 1 2 42 2 2 6 70
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 0 2 2 571
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 1 4 10 1,238
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 1 4 307 1 2 10 741
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 0 0 1 51
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 0 0 90
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 0 0 3 53
Business and Default Cycles for Credit Risk 0 0 1 893 1 1 3 1,922
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 0 1 2 24
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 1 1 4 436
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 0 0 1 623
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 24 0 0 1 102
Convergence in European GDP Series 0 0 0 490 0 0 0 2,264
Credit Cycles and Macro Fundamentals 0 0 0 285 0 1 3 868
Credit cycles and macro fundamentals 0 0 0 180 0 0 0 600
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 1 1 19 0 1 6 27
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 1 4 430
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 1 19 0 1 4 61
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 1 2 227
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 1 1 1 57 3 4 4 166
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 0 74 0 4 8 109
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 101 0 2 5 117
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 0 2 513
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 0 0 1 64
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 0 1 3 49
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 0 1 315
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 1 79 0 2 5 175
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 0 1 186
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 0 0 854
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 1 1 1 4
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 14 0 0 2 57
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 0 1 41
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 0 0 2
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 1 2 25
Finding the European crime drop using a panel data model with stochastic trends 0 0 0 12 0 0 2 7
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 0 6 275
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 1 353 0 0 4 1,141
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 0 955 0 0 1 2,493
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 2 156 2 4 15 199
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 0 0 2 201
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 1 182 0 0 3 410
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 0 0 2 1,102
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 0 2 5 76
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 1 2 93 1 3 7 133
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 1 5 184
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 0 1 2,114
Generalized Autoregressive Method of Moments 0 0 0 74 0 1 3 141
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 0 0 3 201
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 0 0 145
Global credit risk: world country and industry factors 0 0 0 32 1 1 4 108
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 1 1 55
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 0 0 64
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 1 47 0 1 2 94
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 1 1 3,795
Interaction between supply and demand in production and employment 0 0 0 24 0 0 2 168
Intervention Time Series Analysis of Crime Rates 0 0 0 711 0 0 0 2,353
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 1 2 93
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 0 0 95
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 0 0 0 64
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 1 1 28 0 1 3 44
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 0 0 0 491
Likelihood-based Analysis for Dynamic Factor Models 0 0 1 293 0 0 1 566
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 1 48 0 1 2 162
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 1 134 0 0 1 345
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 0 0 1 208
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 1 1 1 52 1 2 2 96
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 0 0 3 163
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 59 0 1 2 187
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 3 52 0 1 4 118
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 0 0 2 2,508
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 9 0 0 1 81
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 0 0 3 6
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 0 0 2 763
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 0 92 0 0 3 133
Measuring Synchronisation and Convergence of Business Cycles 0 0 0 365 0 1 4 895
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 0 2 5 114
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 0 0 1 80
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 1 1 95 1 4 4 234
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 0 0 1 763
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 0 0 0 678
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 0 55 0 0 1 153
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 1 78 0 3 6 242
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 1 90 0 0 5 133
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 2 7
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 1 24
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 0 0 0 186
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 1 56 0 0 4 170
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) 0 0 0 0 1 2 7 126
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 2 2 118
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 76 0 1 1 153
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 0 0 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 1 1 3 49 1 3 6 163
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 0 4 30 2 3 14 47
On Importance Sampling for State Space Models 0 0 0 181 0 1 1 525
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 1 53 0 1 4 102
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 0 2 35
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 0 0 0 17
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 1 353 0 1 2 954
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 0 0 0 577
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 1 2 4 1,225
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 0 0 1 327
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 0 0 0 233
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 1 1 813
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 83 0 0 4 99
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 0 0 5 193
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 0 0 2 1,050
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 0 1 4 650
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 1 0 0 2 10
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 0 0 1 66
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 0 0 0 219
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 0 68 0 0 3 117
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 49 0 0 2 149
Spline Smoothing over Difficult Regions 0 0 1 66 0 0 3 193
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 0 0 4 175
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 0 2 3 133
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 0 0 3 13
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 22 0 0 1 110
Statistical Early Warning Models with Applications 1 1 26 26 3 5 28 28
Stock Index Volatility Forecasting with High Frequency Data 0 0 0 858 0 3 4 2,215
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 0 0 1 208
Systemic Risk Diagnostics 0 0 0 93 0 0 1 212
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 2 149 0 1 5 468
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 0 1 1 56
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 0 0 2 78
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 0 2 493
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 0 2 125
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 0 0 0 57
The Dynamic Skellam Model with Applications 0 0 0 35 0 1 3 140
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 0 0 1 236
The Information in Systemic Risk Rankings 0 0 0 28 1 2 2 93
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 3 7 42
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 1 2 238 0 2 3 681
The Stochastic Volatility in Mean Model 0 0 0 493 0 2 4 1,104
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 86 2 2 6 113
The dynamic factor network model with an application to global credit risk 0 0 1 43 0 0 2 129
The information in systemic risk rankings 0 0 1 41 0 0 5 153
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 0 0 0 65
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 1 1 0 0 3 4
Time Series Modelling of Daily Tax Revenues 0 0 1 331 1 1 3 884
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 0 0 0 1,440
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 1 130 2 3 9 451
Time-Series Modelling of Daily Tax Revenues 0 0 0 290 0 0 1 1,070
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 0 0 0 30
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 0 0 0 218
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 0 0 950
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 0 0 2 142
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 1 40 1 1 7 43
Total Working Papers 8 15 110 20,635 43 130 489 61,551
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 0 0 2 200
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 29 1 2 6 114
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 0 0 3 205
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 1 3 64 0 2 13 255
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 0 1 4 312
A regression-based approach to the CO2 airborne fraction 0 0 0 0 0 0 1 1
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 1 1 1 8 9
A time-varying parameter model for local explosions 0 0 1 6 0 0 2 25
Accelerating score-driven time series models 1 1 6 23 1 1 8 92
Amendments and Corrections 0 0 0 1 0 0 0 10
An hourly periodic state space model for modelling French national electricity load 0 1 1 51 0 1 3 202
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 7 58 2 2 16 187
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 0 0 1 25
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 0 0 0 2 10 11
Business and default cycles for credit risk 0 1 2 5 0 1 2 14
Business and default cycles for credit risk 0 1 1 454 0 1 5 1,241
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 1 1 1 0 1 3 3
Computing observation weights for signal extraction and filtering 0 2 10 195 2 7 30 473
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 0 0 0 0 0 11
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 0 0 0 624
Credit cycles and macro fundamentals 0 0 1 201 0 1 6 593
Detecting shocks: Outliers and breaks in time series 0 0 2 137 0 0 3 350
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 1 9 780
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 0 0 1 65
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 0 30 0 2 2 130
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 0 1 24
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 0 1 1 10
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 0 0 2 59
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 1 76 0 1 3 264
Empirical Bayes Methods for Dynamic Factor Models 0 1 1 14 1 2 2 115
Empirical credit cycles and capital buffer formation 0 0 0 142 0 0 0 396
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 1 177 0 0 4 377
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 0 0 105
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 1 2 0 0 4 15
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 483 0 1 8 1,089
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 0 2 188
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 1 39
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 137 0 1 6 368
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 1 6 0 0 4 29
Filtering and smoothing of state vector for diffuse state‐space models 0 1 11 392 0 2 19 725
Forecasting and nowcasting economic growth in the euro area using factor models 0 1 2 25 0 1 7 95
Forecasting daily time series using periodic unobserved components time series models 1 1 1 53 1 1 2 146
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 4 397 0 0 10 1,098
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 1 4 1 3 5 35
Forecasting football match results in national league competitions using score-driven time series models 0 2 8 58 0 4 23 221
Forecasting interest rates with shifting endpoints 0 0 0 27 0 2 2 100
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 0 3 71 0 1 6 198
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 1 1 2 22 2 2 4 102
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 2 8 109 1 6 18 346
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 1 1 3 226
Global Credit Risk: World, Country and Industry Factors 0 1 1 8 0 1 2 92
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 1 30 0 1 2 99
Information-theoretic optimality of observation-driven time series models for continuous responses 0 0 1 22 0 0 3 64
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 0 0 69
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 1 1 24 0 2 4 121
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 1 1 1 29
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 0 0 20
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 1 1 10 0 1 5 26
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 0 36 0 0 2 117
Likelihood functions for state space models with diffuse initial conditions 0 0 2 39 0 0 3 123
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 15 0 1 2 74
Long memory dynamics for multivariate dependence under heavy tails 0 0 2 24 0 0 4 106
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 0 55
Long-term forecasting of El Niño events via dynamic factor simulations 0 1 1 15 0 1 2 40
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 2 3 1 1 10 18
Maximum likelihood estimation for dynamic factor models with missing data 0 0 3 116 2 2 11 308
Maximum likelihood estimation for score-driven models 0 2 2 11 0 2 7 42
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 1 4 147 0 2 6 330
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 4 71 0 6 16 231
Missing observations in observation-driven time series models 0 0 0 6 0 0 2 23
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 1 82 0 0 2 205
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 1 1 1 253
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 0 0 2 19 0 1 8 75
Modelling trigonometric seasonal components for monthly economic time series 0 0 0 53 0 0 2 259
Model‐based measurement of latent risk in time series with applications 0 0 0 28 0 0 0 120
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 1 1 10
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 3 116 0 0 4 236
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 1 79 0 0 3 208
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 0 0 0 67
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 0 0 1 65
Nonlinear autoregressive models with optimality properties 0 0 1 3 0 0 2 16
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 0 4 94
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 1 16 0 0 2 61
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 1 2 44 0 2 6 197
Observation-driven filtering of time-varying parameters using moment conditions 0 0 3 6 1 1 6 12
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 0 0 3
Partially censored posterior for robust and efficient risk evaluation 0 0 1 1 0 1 3 18
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 1 118 0 0 3 299
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 0 1 114
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 6 42 2 5 16 166
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 19 1 1 5 88
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 1 1 1 59
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 0 1 151
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 1 1,461
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 0 1 89
Spillover dynamics for systemic risk measurement using spatial financial time series models 2 2 5 45 4 6 16 170
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 0 0 147
State Space Models With a Common Stochastic Variance 0 0 0 115 0 0 0 193
Statistical Software for State Space Methods 0 0 0 26 0 0 1 162
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 1 3 7 1,287
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 1 1 27
Testing the assumptions behind importance sampling 0 0 0 67 0 0 2 272
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 1 32 0 0 2 128
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 0 4 908
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 1 1 2 7 2 3 7 25
The dynamic factor network model with an application to international trade 0 0 2 22 1 1 4 97
The information in systemic risk rankings 0 0 0 23 0 2 6 100
The multi-state latent factor intensity model for credit rating transitions 0 0 1 153 0 2 7 469
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 4 470 1 3 12 1,430
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 0 0 2 31
Time Series Modelling of Daily Tax Revenues 0 0 0 33 0 0 1 110
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 2 174 1 1 4 387
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 1 2 0 1 7 10
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 1 1 14 0 1 7 54
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 3 180 0 1 5 368
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 1 6 2 4 7 36
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 0 33 0 1 3 148
Total Journal Articles 8 31 154 6,819 37 120 536 25,174

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 8 382
Time Series Analysis by State Space Methods 0 0 0 0 11 38 165 2,258
Time Series Analysis by State Space Methods 0 0 0 0 8 26 123 1,285
Total Books 0 0 0 0 20 66 296 3,925

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

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