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 0 2 268 8 11 22 633
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 1 2 67 2 4 5 205
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 1 2 3 189
A Forty Year Assessment of Forecasting the Boat Race 0 0 0 78 0 0 3 80
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 2 3 4 413
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 118 2 4 6 302
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors 1 1 3 29 1 3 14 38
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 122 1 2 11 475
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 0 0 1 16 3 3 6 13
A Time-Varying Parameter Model for Local Explosions 0 0 0 69 2 2 5 118
A robust Beveridge-Nelson decomposition using a score-driven approach with an application 0 0 3 5 0 1 6 10
A statistical model of the global carbon budget 0 1 2 38 0 2 5 81
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 2 42 0 1 7 71
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 0 230 5 6 8 577
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 8 11 18 1,250
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 3 307 6 9 18 751
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 60 2 2 3 53
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 1 2 2 92
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 0 41 1 1 4 56
Business and Default Cycles for Credit Risk 0 0 1 893 0 0 2 1,922
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 2 2 4 26
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 188 0 1 4 437
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 260 1 1 3 625
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 24 0 0 0 102
Convergence in European GDP Series 0 0 0 490 1 2 2 2,266
Credit Cycles and Macro Fundamentals 0 0 0 285 0 0 4 869
Credit cycles and macro fundamentals 0 1 2 182 0 3 4 604
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model 0 1 2 20 2 4 9 31
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 6 8 12 438
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 0 1 61
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 1 2 228
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 57 0 1 5 167
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 2 2 2 76 2 2 6 111
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 101 1 4 9 121
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 1 1 2 514
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 9 3 4 5 68
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 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 0 5 175
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 3 4 4 190
Fast Estimation of Parameters in State Space Models 0 0 0 0 1 1 1 855
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 0 1 4
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 14 1 1 2 58
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 2 4 44
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 3 4 28
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 0 0 2
Finding the European crime drop using a panel data model with stochastic trends 0 0 0 12 0 0 3 8
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 1 2 276
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 1 353 3 3 6 1,144
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 0 1 1 956 0 2 3 2,495
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 1 3 158 1 3 16 205
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 1 1 3 202
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 1 1 2 1,103
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 0 0 3 76
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 93 1 2 10 136
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 2 5 186
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 1 1 1 2,115
Generalized Autoregressive Method of Moments 0 0 0 74 2 2 4 143
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 5 6 10 208
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 1 1 1 146
Global credit risk: world country and industry factors 0 0 0 32 3 3 7 111
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 1 1 2 56
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 2 2 66
Information Theoretic Optimality of Observation Driven Time Series Models 1 1 2 48 1 2 4 96
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 0 1 3,795
Interaction between supply and demand in production and employment 0 0 0 24 1 1 3 169
Intervention Time Series Analysis of Crime Rates 0 0 0 711 0 0 1 2,354
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 0 2 93
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 1 1 1 96
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 1 1 1 65
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 0 1 28 0 1 4 45
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 1 294 4 5 6 572
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 1 48 2 2 4 164
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 1 134 1 1 2 346
Long memory modelling of inflation with stochastic variance and structural breaks 0 1 1 48 2 3 3 211
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 0 1 3 97
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 2 3 6 191
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 2 52 2 2 5 120
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,038 2 2 4 2,510
Maximum likelihood estimation for dynamic factor models with missing data 1 1 1 10 6 7 8 89
Maximum likelihood estimation of stochastic volatility models 0 0 0 2 1 1 3 7
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 1 93 1 1 5 136
Measuring Synchronisation and Convergence of Business Cycles 0 0 0 365 0 0 3 895
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 1 1 4 115
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 0 1 95 0 0 5 235
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 1 2 2 680
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 0 55 0 0 3 155
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 1 78 1 1 6 243
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 0 0 1 90 1 1 5 134
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 2 2 3 26
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 1 7
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 1 1 5 171
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 0 8 127
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 0 108 0 0 2 118
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 1 1 1 77 1 1 2 154
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 0 1 1 157
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 49 1 3 7 166
Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics 0 0 0 30 0 2 10 49
On Importance Sampling for State Space Models 0 0 0 181 0 0 1 525
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 2 6 105
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 0 1 35
Partially Censored Posterior for robust and efficient risk evaluation 0 0 0 2 1 2 2 19
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 353 0 0 1 954
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 177 1 1 1 578
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 0 479 2 2 6 1,227
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 2 2 3 236
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 1 3 815
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 83 6 8 11 107
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 1 1 5 194
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 1 1 3 1,051
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 221 0 2 3 652
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 20 2 2 3 68
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 1 0 0 1 10
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 3 222
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 1 1 1 69 2 2 3 119
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 2 2 51 1 4 4 153
Spline Smoothing over Difficult Regions 0 0 1 66 2 3 5 196
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 0 56 0 0 3 175
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 3 3 6 137
Statistical Algorithms for Models in State Space Using SsfPack 2.2 1 1 1 23 3 4 4 114
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 4 1 1 3 14
Statistical Early Warning Models with Applications 0 0 1 26 0 2 14 31
Stock Index Volatility Forecasting with High Frequency Data 0 0 1 859 2 2 9 2,220
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 0 51 1 3 4 211
Systemic Risk Diagnostics 0 0 0 93 1 1 2 213
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 1 149 5 5 7 473
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 27 0 0 1 56
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 1 3 79
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 1 2 494
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 1 2 2 59
The Dynamic Skellam Model with Applications 0 0 1 36 0 0 3 141
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 2 237
The Information in Systemic Risk Rankings 0 0 0 28 1 4 7 98
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 9 44
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 3 239 0 0 5 683
The Stochastic Volatility in Mean Model 0 0 0 493 1 2 6 1,106
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 1 86 0 1 7 114
The dynamic factor network model with an application to global credit risk 0 0 0 43 3 3 4 132
The information in systemic risk rankings 0 0 1 41 0 0 4 153
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 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 Modelling of Daily Tax Revenues 0 0 1 331 2 2 5 886
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 1 1 2 131 5 7 13 459
Time-Series Modelling of Daily Tax Revenues 1 1 1 291 1 1 2 1,071
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 1 1 1 219
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 0 2 952
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 0 85 4 4 4 146
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 0 0 0 40 1 1 5 44
Total Working Papers 10 19 73 20,661 192 284 683 61,880
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 1 2 30 0 1 6 115
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 57 4 4 5 204
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 0 0 4 206
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 1 1 2 65 8 8 14 263
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 71 2 2 5 314
A regression-based approach to the CO2 airborne fraction 0 0 0 0 1 1 2 2
A robust Beveridge–Nelson decomposition using a score-driven approach with an application 0 0 1 1 1 2 8 11
A time-varying parameter model for local explosions 0 0 0 6 0 0 1 25
Accelerating score-driven time series models 0 0 3 23 1 1 6 93
Amendments and Corrections 0 0 0 1 0 0 0 10
An hourly periodic state space model for modelling French national electricity load 0 0 1 51 0 1 4 204
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 3 58 3 5 12 192
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 3 2 2 3 27
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects 0 0 0 0 0 1 6 12
Business and default cycles for credit risk 1 1 3 6 1 1 3 15
Business and default cycles for credit risk 0 0 1 454 1 1 6 1,242
Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices 0 0 1 1 1 1 2 4
Computing observation weights for signal extraction and filtering 0 0 10 197 5 6 35 484
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 1 1 1 0 2 2 13
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 176 1 1 2 626
Credit cycles and macro fundamentals 0 0 0 201 0 1 4 594
Detecting shocks: Outliers and breaks in time series 0 0 1 137 2 2 4 353
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 0 1 6 781
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 1 4 132
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 2 3 26
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 0 4 0 1 2 11
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 0 0 2 60
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 1 76 0 0 4 265
Empirical Bayes Methods for Dynamic Factor Models 0 0 1 14 0 0 3 116
Empirical credit cycles and capital buffer formation 0 0 0 142 0 0 1 397
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 1 177 1 2 4 379
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 1 1 4 16
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 0 0 1 483 0 1 6 1,090
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 0 0 188
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 1 3 5 43
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 137 0 0 4 368
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 1 6 1 1 3 30
Filtering and smoothing of state vector for diffuse state‐space models 1 3 6 395 2 7 17 733
Forecasting and nowcasting economic growth in the euro area using factor models 0 0 1 25 0 0 3 95
Forecasting daily time series using periodic unobserved components time series models 0 0 1 53 0 0 3 147
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 1 1 3 398 2 3 10 1,103
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 4 0 2 5 37
Forecasting football match results in national league competitions using score-driven time series models 0 2 7 60 3 7 24 232
Forecasting interest rates with shifting endpoints 0 0 0 27 1 3 6 104
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 0 3 72 1 2 8 201
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 2 22 0 2 5 104
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2 2 10 111 7 8 25 355
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 1 1 4 227
Global Credit Risk: World, Country and Industry Factors 0 0 1 8 0 0 4 94
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 0 30 1 2 3 101
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 1 23 2 3 3 67
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 0 2 25 1 3 10 128
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 4 4 5 33
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 1 1 2 22
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 1 10 0 0 5 26
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 0 36 0 0 1 118
Likelihood functions for state space models with diffuse initial conditions 0 0 1 39 2 2 4 125
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 15 3 5 6 79
Long memory dynamics for multivariate dependence under heavy tails 0 0 1 24 0 1 3 107
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 4 5 5 60
Long-term forecasting of El Niño events via dynamic factor simulations 0 1 2 16 1 2 4 42
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions 0 0 1 3 1 1 7 19
Maximum likelihood estimation for dynamic factor models with missing data 1 2 4 118 5 6 15 317
Maximum likelihood estimation for score-driven models 0 0 2 11 3 5 12 49
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 4 148 1 1 7 333
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 4 71 0 0 16 233
Missing observations in observation-driven time series models 0 0 0 6 2 3 4 26
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 0 82 0 0 0 205
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 0 0 1 253
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 0 0 0 19 4 5 10 80
Modelling trigonometric seasonal components for monthly economic time series 1 1 1 54 1 1 4 262
Model‐based measurement of latent risk in time series with applications 0 0 0 28 1 1 1 121
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 0 1 10
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 1 2 117 0 2 4 238
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 1 79 0 1 3 209
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 1 1 2 69
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 4 4 5 69
Nonlinear autoregressive models with optimality properties 0 0 1 3 1 1 3 17
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 1 3 95
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 1 16 1 1 4 63
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 44 1 1 6 199
Observation-driven filtering of time-varying parameters using moment conditions 0 0 3 7 0 1 6 14
On the evidence of a trend in the CO2 airborne fraction 0 0 0 0 2 4 4 7
Partially censored posterior for robust and efficient risk evaluation 0 0 1 1 0 0 5 20
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 1 118 1 2 5 301
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 0 2 116
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 3 42 2 4 15 171
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 1 20 3 5 10 94
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 0 0 14 3 4 6 64
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 1 1 2 1,462
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 0 0 4 46 1 4 16 177
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 1 1 148
State Space Models With a Common Stochastic Variance 0 0 0 115 0 0 1 194
Statistical Software for State Space Methods 0 0 0 26 1 2 2 164
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 1 1 5 1,289
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 1 2 3 29
Testing the assumptions behind importance sampling 0 0 0 67 0 0 3 274
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 0 32 2 4 5 132
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 2 2 4 910
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 1 7 0 3 10 29
The dynamic factor network model with an application to international trade 0 0 1 22 0 1 5 99
The information in systemic risk rankings 0 0 0 23 1 1 7 101
The multi-state latent factor intensity model for credit rating transitions 0 0 1 153 0 0 5 470
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 4 1 1 3 33
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 4 471 1 2 13 1,433
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 1 175 2 2 5 390
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 0 2 0 0 5 11
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 14 2 5 11 60
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 0 1 180 0 0 3 369
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 0 1 6 3 3 8 39
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 0 33 0 1 4 150
Total Journal Articles 8 19 123 6,847 129 210 636 25,457

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 4 9 386
Time Series Analysis by State Space Methods 0 0 0 0 24 47 156 2,315
Time Series Analysis by State Space Methods 0 0 0 0 4 22 101 1,316
Total Books 0 0 0 0 29 73 266 4,017

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 1 3 5
Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series 0 0 3 5 0 0 3 6
Total Chapters 0 0 3 5 0 1 6 12

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