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 6 13 281 22 39 89 722
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 67 7 8 32 237
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 2 79 2 5 28 217
A Forty Year Assessment of Forecasting the Boat Race 0 0 1 79 2 3 13 93
A General Framework for Observation Driven Time-Varying Parameter Models 2 2 6 124 3 5 30 332
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 3 175 3 3 23 436
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 0 0 1 30 2 2 23 61
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 3 4 10 485
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 2 3 8 33
A Novel Test for the Presence of Local Explosive Dynamics 0 0 3 19 1 1 21 34
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 2 7 22 140
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 1 6 2 3 10 20
A statistical model of the global carbon budget 0 0 0 38 0 3 20 101
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 42 1 3 16 87
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 4 7 24 601
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 0 0 29 1,279
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 1 308 5 7 23 774
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 3 3 15 68
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 4 6 13 105
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 2 2 10 66
Business and Default Cycles for Credit Risk 0 0 1 894 7 10 36 1,958
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 2 2 13 39
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 0 1 12 449
Computing Observation Weights for Signal Extraction and Filtering 1 2 3 263 2 3 23 648
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 1 25 2 3 14 116
Convergence in European GDP Series 0 1 1 491 4 7 18 2,284
Credit Cycles and Macro Fundamentals 0 0 0 285 2 4 15 884
Credit cycles and macro fundamentals 0 0 0 182 3 5 18 622
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 1 1 2 22 2 2 13 44
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 2 3 19 457
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 2 3 17 78
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 2 10 238
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 57 2 6 20 187
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 2 78 1 2 24 135
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 102 1 2 10 131
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 0 8 522
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 1 1 17 85
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 1 13 62
Exploring the crime drop in European Union homicide rates using econometric modelling 0 0 8 8 49 52 60 60
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 1 1 80 4 6 15 190
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 1 9 199
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 1 5 860
Fast Filtering and Smoothing for Multivariate State Space Models 0 1 1 15 2 4 11 69
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 2 3 10 14
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 3 3 12 56
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 3 16 44
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 1 2 9 11
Finding the European crime drop using a panel data model with stochastic trends 0 0 1 13 4 5 18 26
Food prices and production in the aftermath of natural disasters: the case of Peru 0 0 1 4 6 9 27 37
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 4 4 13 289
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 0 353 4 4 16 1,160
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 0 0 956 4 6 21 2,516
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 1 159 4 8 41 246
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 4 8 21 223
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 1 1 1 183 4 5 16 426
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 3 4 44 1,147
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 1 1 13 89
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 2 3 96 3 8 21 157
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 92 5 9 27 213
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 2 4 15 2,130
Generalized Autoregressive Method of Moments 0 0 1 75 1 3 21 164
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 2 4 22 230
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 3 3 12 158
Global credit risk: world country and industry factors 0 0 0 32 1 2 12 123
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 4 7 12 68
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 1 15 81
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 4 52 5 7 28 124
Interaction between Supply and Demand Shocks in Production and Employment 0 0 2 389 4 5 12 3,807
Interaction between supply and demand in production and employment 0 0 0 24 2 2 10 179
Intervention Time Series Analysis of Crime Rates 0 0 0 711 5 6 13 2,367
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 2 2 15 108
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 4 6 12 108
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 2 2 11 76
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 0 166 6 6 19 510
Likelihood-based Analysis for Dynamic Factor Models 0 0 0 294 2 2 22 594
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 1 1 49 3 8 29 193
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 0 134 2 3 16 362
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 48 2 2 60 271
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 52 4 5 16 113
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 4 5 17 180
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 2 2 20 211
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 4 7 21 141
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 1 1 16 2,526
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 10 0 0 6 95
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 0 0 10 17
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 222 2 3 17 780
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 0 93 0 1 11 147
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 366 1 3 14 909
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 1 2 9 124
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 5 15 95
Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data 0 0 1 9 3 6 21 28
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 95 5 6 20 255
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 233 2 4 18 781
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 154 2 3 15 695
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 1 1 2 57 6 7 18 173
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 1 1 1 79 2 2 21 264
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 2 92 2 3 12 146
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 1 2 7 14
Modelling bid-ask spreads in competitive dealership markets 0 0 1 1 1 3 9 35
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 68 2 2 14 200
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 56 5 6 39 210
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) 0 0 0 0 2 3 13 140
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 5 7 19 137
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 77 2 6 14 168
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 2 3 11 168
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 50 9 10 20 186
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 1 4 34 1 10 30 79
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 3 7 21 126
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 2 2 11 46
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 2 4 13 32
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 2 3 12 966
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 2 3 23 601
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 1 2 18 1,245
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 113 4 5 21 348
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 2 5 15 251
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 3 8 823
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 1 84 3 7 26 133
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 1 2 21 215
Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence 0 3 3 31 4 10 17 62
Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application 0 0 2 7 1 3 17 27
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 1 1 1 246 12 13 24 1,075
Score-driven time-varying parameter models with splinebased densities 0 0 3 29 2 3 29 35
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 3 3 8 660
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 1 3 9 19
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 5 5 17 85
Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods 0 1 2 18 1 3 15 23
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 1 5 13 235
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 0 1 4 10 10
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 1 70 1 6 23 142
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 51 2 4 19 172
Spline Smoothing over Difficult Regions 0 0 0 66 2 2 9 205
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 1 1 57 5 7 21 196
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 2 3 17 154
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 5 0 1 16 30
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 23 2 3 36 150
Statistical Early Warning Models with Applications 0 0 2 28 2 3 17 48
Stock Index Volatility Forecasting with High Frequency Data 0 0 0 859 2 2 14 2,234
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 2 2 14 225
Systemic Risk Diagnostics 0 0 0 93 4 5 14 227
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 2 4 14 487
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 1 2 9 65
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 4 6 16 95
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 3 20 514
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 1 1 1 77 4 4 8 133
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 2 5 24 83
The Dynamic Skellam Model with Applications 0 0 0 36 1 1 14 155
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 86 3 4 62 299
The Information in Systemic Risk Rankings 0 0 0 28 4 6 19 117
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 2 12 56
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 0 239 4 7 18 701
The Stochastic Volatility in Mean Model 0 0 0 493 2 4 13 1,119
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 87 0 7 36 150
The dynamic factor network model with an application to global credit risk 0 0 0 43 2 4 15 147
The information in systemic risk rankings 0 0 0 41 4 7 21 174
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 17 2 2 20 85
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 1 2 1 3 8 12
Time Series Modelling of Daily Tax Revenues 0 0 1 332 5 6 20 906
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 482 1 1 11 1,451
Time Varying Transition Probabilities for Markov Regime Switching Models 0 2 3 134 5 16 47 506
Time-Series Modelling of Daily Tax Revenues 0 0 0 291 2 3 11 1,082
Time-varying state correlations in state space models and their estimation via indirect inference 0 0 0 38 1 1 18 48
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 45 0 0 18 237
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 1 1 8 960
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 1 86 4 5 24 170
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 3 5 19 63
Total Working Papers 9 31 112 20,831 476 751 3,088 65,009
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 2 4 34 2 22 38 153
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 58 0 1 30 234
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 53 0 13 28 234
A Novel Test for the Presence of Local Explosive Dynamics 0 0 1 1 0 0 12 12
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 0 3 68 7 20 61 324
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 0 0 6 320
A regression-based approach to the CO2 airborne fraction 0 0 0 0 1 1 10 12
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 2 3 3 20 31
A time-varying parameter model for local explosions 0 0 1 7 0 0 15 40
Accelerating score-driven time series models 0 0 0 23 2 2 16 109
Amendments and Corrections 0 0 0 1 1 1 7 17
An hourly periodic state space model for modelling French national electricity load 0 1 1 52 3 25 41 245
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 1 3 61 6 8 29 221
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting 0 0 1 2 0 0 7 8
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 0 0 5 32
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 1 1 2 2 2 3 14 26
Business and default cycles for credit risk 0 0 0 6 1 2 8 23
Business and default cycles for credit risk 0 0 0 454 2 2 17 1,259
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 0 1 1 2 7 11
Computing observation weights for signal extraction and filtering 0 1 6 203 2 3 29 513
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models 0 0 0 0 2 2 11 11
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 1 2 2 3 22 35
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 2 3 14 640
Credit cycles and macro fundamentals 0 0 0 201 0 1 12 606
Detecting shocks: Outliers and breaks in time series 0 0 1 138 3 3 21 374
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 2 2 22 803
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 13 2 3 12 77
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 1 2 32 2 3 18 150
Dynamic discrete copula models for high‐frequency stock price changes 0 0 1 2 1 2 18 44
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 1 14 28 39
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 1 13 2 2 12 72
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 2 3 13 129
Empirical credit cycles and capital buffer formation 0 0 1 143 0 1 24 421
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 1 178 0 0 14 393
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 2 2 10 115
Estimation of final standings in football competitions with a premature ending: the case of COVID-19 0 0 0 2 2 3 13 29
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 484 2 4 18 1,108
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 1 2 19 207
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 1 1 10 53
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 1 138 0 20 36 404
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 8 3 6 19 49
Filtering and smoothing of state vector for diffuse state‐space models 0 0 5 400 4 4 21 754
Forecasting and nowcasting economic growth in the euro area using factor models 0 1 4 29 1 23 37 132
Forecasting daily time series using periodic unobserved components time series models 0 0 1 54 1 1 12 159
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 398 3 7 23 1,126
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 1 5 1 17 31 68
Forecasting football match results in national league competitions using score-driven time series models 0 0 4 64 9 16 53 285
Forecasting interest rates with shifting endpoints 0 0 0 27 4 7 18 122
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 0 1 73 2 23 38 239
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 22 1 2 13 117
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 3 5 9 120 9 17 48 403
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 1 1 18 245
Global Credit Risk: World, Country and Industry Factors 0 0 1 9 0 1 17 111
Identifying trend reversals in atmospheric ethane from a multi-site analysis 0 0 0 0 2 4 6 6
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 2 32 0 20 32 133
Information-theoretic optimality of observation-driven time series models for continuous responses 0 2 5 28 4 6 25 92
Interaction between structural and cyclical shocks in production and employment 0 0 0 21 0 0 11 80
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 0 0 0 25 2 17 33 161
Intra-daily smoothing splines for time-varying regression models of hourly electricity load 0 0 0 1 2 2 5 8
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 1 3 16 49
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 1 1 3 49 50 60 82
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 2 12 1 1 14 40
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 1 37 1 1 11 129
Likelihood functions for state space models with diffuse initial conditions 0 0 0 39 2 2 12 137
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 1 16 0 13 27 106
Long memory dynamics for multivariate dependence under heavy tails 0 3 4 28 1 5 26 133
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 1 2 12 72
Long-term forecasting of El Niño events via dynamic factor simulations 0 0 1 17 1 5 16 58
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 0 3 1 2 15 34
Maximum likelihood estimation for dynamic factor models with missing data 0 0 3 121 2 2 26 343
Maximum likelihood estimation for score-driven models 0 3 4 15 2 8 31 80
Measuring Growth Spillovers 0 0 0 0 1 2 8 8
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 2 150 3 3 16 349
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 1 3 15 41
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 2 84 4 5 40 245
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 1 1 18 271
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 1 1 6 25 6 9 30 110
Modelling trigonometric seasonal components for monthly economic time series 0 0 0 54 3 4 24 286
Model‐based measurement of latent risk in time series with applications 0 0 0 28 1 18 29 150
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 1 1 5 15
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 0 0 117 1 1 9 247
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 1 1 2 81 3 3 15 224
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 3 3 11 80
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 2 20 31 100
Nonlinear autoregressive models with optimality properties 0 1 1 4 5 8 18 35
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 2 21 31 126
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 2 2 12 75
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 46 2 2 17 216
Observation-driven filtering of time-varying parameters using moment conditions 0 0 2 9 1 2 15 29
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 0 0 7 14
Partially censored posterior for robust and efficient risk evaluation 0 0 0 1 2 4 10 30
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 1 1 1 119 2 3 21 322
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 1 14 130
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 4 46 2 5 23 194
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 20 3 3 18 112
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 1 1 13 77
Seasonality with trend and cycle interactions in unobserved components models 0 0 1 37 1 1 12 163
Signal extraction and the formulation of unobserved components models 0 0 0 4 2 2 15 1,477
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 2 13 102
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 46 2 3 15 192
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 0 11 159
State Space Models With a Common Stochastic Variance 0 0 0 115 3 19 33 227
Statistical Software for State Space Methods 0 0 1 27 3 3 8 172
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 1 4 30 1,319
Testing for Parameter Instability across Different Modeling Frameworks 0 0 1 5 1 2 17 46
Testing the assumptions behind importance sampling 0 0 0 67 0 2 13 287
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 1 2 34 1 3 15 147
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 3 5 16 926
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 0 7 2 5 25 54
The dynamic factor network model with an application to international trade 0 0 0 22 1 2 14 113
The information in systemic risk rankings 0 0 0 23 2 2 9 110
The multi-state latent factor intensity model for credit rating transitions 0 1 4 157 2 6 20 490
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 0 0 13 46
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 1 472 3 4 16 1,449
Time Series Modelling of Daily Tax Revenues 0 0 0 33 1 21 31 141
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 1 1 2 177 3 5 19 409
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 2 2 22 33
Time-Varying Transition Probabilities for Markov Regime Switching Models 1 1 8 22 3 5 46 106
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 1 1 181 4 17 33 402
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 1 7 3 4 26 65
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors 0 1 2 3 2 3 11 20
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 1 1 14 164
Total Journal Articles 9 33 139 6,989 271 698 2,449 27,919

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 3 4 21 407
Time Series Analysis by State Space Methods 0 0 0 0 22 57 276 2,591
Time Series Analysis by State Space Methods 0 0 0 0 12 21 121 1,437
Total Books 0 0 0 0 37 82 418 4,435

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 2 2 7 7
MESSY TIME SERIES 1 1 2 2 2 16 20 21
Model-Based Measurement of Actual Volatility in High-Frequency Data 0 0 0 0 0 21 31 36
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility 0 0 0 0 1 2 2 2
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 1 1 2 7 5 41 67 79

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