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 1 2 4 261 4 5 22 600
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 64 0 0 1 195
A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area 1 1 2 77 4 8 25 179
A Forty Year Assessment of Forecasting the Boat Race 1 3 4 76 1 3 5 74
A General Framework for Observation Driven Time-Varying Parameter Models 0 1 2 170 1 8 10 401
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 113 0 1 4 282
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 122 0 0 2 460
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 1 1 23
A Time-Varying Parameter Model for Local Explosions 0 0 2 69 0 8 25 108
A statistical model of the global carbon budget 1 1 5 32 2 5 15 67
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 4 39 0 2 8 58
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 0 1 230 0 0 4 569
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 4 11 40 1,190
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 2 11 299 2 5 29 716
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 1 60 0 0 4 49
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 0 1 4 90
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects 0 0 1 41 0 1 4 47
Business and Default Cycles for Credit Risk 0 1 4 888 1 11 29 1,910
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence 0 0 0 20 0 0 0 21
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 0 187 2 10 22 427
Computing Observation Weights for Signal Extraction and Filtering 0 0 0 259 0 1 1 620
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 24 0 0 1 98
Convergence in European GDP Series 0 0 2 490 0 1 6 2,263
Credit Cycles and Macro Fundamentals 0 0 2 285 1 5 15 861
Credit cycles and macro fundamentals 1 1 1 180 2 7 18 594
Dynamic Factor Analysis in The Presence of Missing Data 1 1 7 205 2 3 17 403
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 1 18 1 1 6 56
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 1 1 223
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 54 0 0 1 157
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 3 4 72 0 4 7 94
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 101 0 1 3 109
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 2 71 0 0 4 511
Estimation of final standings in football competitions with premature ending: the case of COVID-19 0 0 0 8 0 1 11 59
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 7 42
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 0 102 0 1 1 314
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 1 77 5 7 9 161
Fast Efficient Importance Sampling by State Space Methods 0 0 0 79 0 1 2 185
Fast Estimation of Parameters in State Space Models 0 0 0 0 1 1 3 854
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 0 0 1 1 3
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 0 12 0 2 3 50
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 14 1 1 2 37
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 0 0 0 0 0
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 0 22
Finding the European crime drop using a panel data model with stochastic trends 0 0 10 10 0 0 1 1
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 1 1 3 266
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 2 351 1 2 6 1,134
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 1 2 3 953 1 3 9 2,485
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 0 3 144 1 6 23 155
Forecasting Interest Rates with Shifting Endpoints 0 1 3 79 0 1 7 196
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 0 180 0 0 3 405
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 0 0 1 1,096
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 54 0 0 1 69
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 1 88 1 3 11 111
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 90 1 2 5 178
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 810 0 1 1 2,112
Generalized Autoregressive Method of Moments 1 1 1 74 1 2 10 129
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 0 0 0 198
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 1 2 14 140
Global credit risk: world country and industry factors 0 0 0 31 0 0 4 101
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 1 15 0 0 1 53
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 1 1 3 61 2 2 5 63
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 0 45 0 0 2 88
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 0 0 3,792
Interaction between supply and demand in production and employment 0 0 0 23 0 0 0 165
Intervention Time Series Analysis of Crime Rates 0 0 2 710 0 1 4 2,350
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 1 4 88
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 0 2 94
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 1 72 0 0 1 62
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels 0 0 1 26 0 2 7 36
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 1 2 165 0 5 11 488
Likelihood-based Analysis for Dynamic Factor Models 0 0 2 289 1 3 9 559
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 1 47 2 4 10 157
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 0 1 133 0 0 2 344
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 0 1 3 206
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 1 3 50 0 1 4 90
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 1 57 0 1 4 159
Maximum Likelihood Estimation for Score-Driven Models 0 0 2 58 1 1 9 182
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 1 1 48 0 2 5 109
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 1,036 1 1 6 2,504
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 9 0 2 6 79
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 1 3 222 0 1 3 761
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 1 1 1 89 2 2 5 125
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 363 0 0 3 886
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 3 3 13 98
Missing Observations in Observation-Driven Time Series Models 0 0 0 45 0 1 4 75
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 2 3 92 1 10 32 220
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 232 0 1 2 761
Model-based Measurement of Latent Risk in Time Series with Applications 0 1 2 153 0 1 2 675
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 1 52 0 0 3 148
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 1 76 0 0 4 233
Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors 1 1 1 87 2 4 8 123
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 0 22
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 0 5
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 67 1 3 4 178
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 54 0 0 3 164
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 3 10 115
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 5 107 0 2 11 112
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 1 1 3 75 1 1 3 149
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 56 0 0 2 153
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 3 44 0 0 4 150
On Importance Sampling for State Space Models 0 0 2 181 0 1 4 524
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 1 52 0 0 4 96
Partially Censored Posterior for Robust and Efficient Risk Evaluation 0 0 0 20 0 0 0 33
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 0 352 0 1 2 952
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 1 1 1 177 1 1 2 574
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 0 2 477 0 0 6 1,218
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 1 1 1 113 1 1 2 325
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 2 92 2 2 10 230
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 1 3 812
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 4 83 0 1 7 92
Regime switches in the volatility and correlation of financial institutions 0 1 2 100 0 3 6 185
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 1 3 245 0 1 4 1,048
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 3 220 0 3 13 641
Signal Extraction and the Formulation of Unobserved Components Models 0 0 0 0 1 1 2 8
Signal Extraction and the Formulation of Unobserved Components Models 0 0 1 19 0 0 2 64
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 1 1 97 0 1 1 217
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 1 2 65 0 1 5 105
Spillover dynamics for systemic risk measurement using spatial financial time series models 1 1 1 45 1 1 4 142
Spline Smoothing over Difficult Regions 0 0 1 65 0 0 1 188
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 1 3 56 0 3 7 167
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 58 0 0 3 125
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 2 20 0 0 8 101
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 3 0 1 2 8
Stock Index Volatility Forecasting with High Frequency Data 0 0 2 857 0 0 7 2,208
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 0 1 51 0 0 1 207
Systemic Risk Diagnostics 0 0 1 93 0 1 2 211
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 1 147 0 1 4 460
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 1 27 0 0 2 55
Testing for Parameter Instability in Competing Modeling Frameworks 0 1 3 21 0 1 4 74
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 1 2 491
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 76 0 0 2 123
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 0 14 0 0 0 56
The Dynamic Skellam Model with Applications 1 1 3 34 2 3 7 131
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 1 86 0 1 2 234
The Information in Systemic Risk Rankings 0 1 3 28 1 2 5 91
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 0 1 33
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 1 235 0 0 8 676
The Stochastic Volatility in Mean Model 0 0 0 492 0 0 4 1,097
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 1 4 78 0 3 22 89
The dynamic factor network model with an application to global credit risk 0 0 0 40 0 0 1 124
The information in systemic risk rankings 0 0 2 39 1 1 6 138
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 16 0 0 1 63
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 0 0 0 1 1
Time Series Modelling of Daily Tax Revenues 0 0 0 329 0 1 1 880
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 1 482 0 3 5 1,437
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 4 125 11 14 31 420
Time-Series Modelling of Daily Tax Revenues 0 0 0 290 0 0 0 1,068
Time-varying state correlations in state space models and their estimation via indirect inference 0 1 4 38 0 1 8 29
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 44 0 0 2 217
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 272 0 1 2 949
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 0 2 85 0 1 5 138
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors 1 1 3 37 3 3 9 31
Total Working Papers 18 46 202 20,309 85 262 926 60,382
1 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 56 0 1 4 196
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 26 0 0 2 98
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 51 0 0 3 198
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 0 1 7 54 0 3 31 216
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 1 2 68 0 1 2 302
A time-varying parameter model for local explosions 0 1 1 3 1 4 10 15
Accelerating score-driven time series models 0 1 2 15 0 1 5 74
Amendments and Corrections 0 0 0 1 0 0 1 9
An hourly periodic state space model for modelling French national electricity load 0 0 1 49 0 0 3 194
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 2 2 45 1 3 3 154
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 2 3 0 0 3 24
Business and default cycles for credit risk 0 0 1 452 0 1 8 1,226
Business and default cycles for credit risk 0 0 2 3 0 0 2 10
Computing observation weights for signal extraction and filtering 0 2 7 167 0 2 16 416
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals 0 0 0 0 0 0 2 11
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 1 176 0 0 2 624
Credit cycles and macro fundamentals 0 0 1 198 2 7 15 578
Detecting shocks: Outliers and breaks in time series 0 0 3 130 1 1 7 338
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 3 10 765
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 11 1 1 1 61
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 1 1 2 27 1 2 4 122
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 1 5 22
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data 0 0 2 4 0 0 3 7
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 12 0 0 1 54
Economic Trends and Cycles in Crime: A Study for England and Wales 1 1 1 72 2 2 4 257
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 13 0 0 2 110
Empirical credit cycles and capital buffer formation 0 0 1 141 0 1 4 393
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 1 176 0 0 1 372
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 0 1 105
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 1 2 7 478 2 4 19 1,071
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 0 1 182
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 0 0 0 37
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 0 132 0 1 4 355
Fast Filtering and Smoothing for Multivariate State Space Models 0 1 1 4 0 5 9 21
Filtering and smoothing of state vector for diffuse state‐space models 0 4 10 374 1 7 16 697
Forecasting and nowcasting economic growth in the euro area using factor models 2 2 3 21 2 2 6 81
Forecasting daily time series using periodic unobserved components time series models 0 0 1 51 1 1 3 141
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 0 2 17 387 0 3 32 1,071
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 2 1 1 4 27
Forecasting football match results in national league competitions using score-driven time series models 0 3 8 41 3 9 26 174
Forecasting interest rates with shifting endpoints 0 0 2 25 0 0 3 95
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 1 3 58 0 3 16 177
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 19 1 2 5 95
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 3 10 94 3 9 29 311
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 41 0 0 0 222
Global Credit Risk: World, Country and Industry Factors 0 0 0 7 1 2 6 85
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 2 2 4 26 2 2 8 86
Information-theoretic optimality of observation-driven time series models for continuous responses 1 2 3 18 1 3 5 56
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 0 22 0 0 1 114
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 1 4 27
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 0 0 19
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies 0 0 5 7 0 1 10 14
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 0 35 0 0 0 114
Likelihood functions for state space models with diffuse initial conditions 0 0 4 31 0 1 7 108
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 12 1 1 2 66
Long memory dynamics for multivariate dependence under heavy tails 0 0 0 13 1 2 3 89
Long memory with stochastic variance model: A recursive analysis for US inflation 0 0 0 10 0 0 0 54
Long-term forecasting of El Niño events via dynamic factor simulations 1 2 3 13 2 3 5 36
Maximum likelihood estimation for dynamic factor models with missing data 0 1 8 109 0 1 12 289
Maximum likelihood estimation for score-driven models 1 2 4 6 2 3 14 20
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 0 141 0 0 1 321
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 1 1 2 65 2 4 15 204
Missing observations in observation-driven time series models 1 1 3 6 2 2 11 19
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 1 80 0 2 5 202
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 2 64 0 2 8 249
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors 1 2 3 14 3 5 16 54
Modelling trigonometric seasonal components for monthly economic time series 0 0 1 51 1 2 3 253
Model‐based measurement of latent risk in time series with applications 0 1 1 28 0 1 2 119
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 1 0 0 0 9
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 0 1 2 111 0 2 4 229
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 1 1 77 0 1 2 204
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 5 1 1 3 67
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 15 0 1 1 64
Nonlinear autoregressive models with optimality properties 0 0 0 2 0 0 0 13
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 0 0 1 88
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 15 0 1 3 59
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 5 41 0 2 10 188
Partially censored posterior for robust and efficient risk evaluation 0 0 0 0 0 0 2 15
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 1 5 113 0 1 9 287
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 21 0 0 2 113
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 6 30 1 3 20 135
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 2 17 0 0 10 78
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 1 1 13 0 2 5 56
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 36 0 1 3 148
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 0 1 1,460
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 0 0 88
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 1 4 32 0 1 12 134
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 1 2 11 146
State Space Models With a Common Stochastic Variance 0 0 1 115 0 0 2 192
Statistical Software for State Space Methods 0 0 0 26 0 0 2 159
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 0 0 3 1,274
Testing for Parameter Instability across Different Modeling Frameworks 0 1 1 4 1 2 2 26
Testing the assumptions behind importance sampling 0 0 0 66 0 0 1 268
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 0 0 0 31 0 0 6 122
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 1 2 5 896
The analysis and forecasting of tennis matches by using a high dimensional dynamic model 0 0 3 4 0 0 6 15
The dynamic factor network model with an application to international trade 0 0 2 18 0 1 7 86
The information in systemic risk rankings 0 3 4 21 0 4 8 87
The multi-state latent factor intensity model for credit rating transitions 0 0 1 150 0 0 11 459
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 1 466 1 2 5 1,414
The stochastic volatility in mean model: empirical evidence from international stock markets 0 1 1 4 0 1 2 28
Time Series Modelling of Daily Tax Revenues 0 0 0 33 0 0 0 109
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 2 172 0 1 4 380
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 2 11 0 2 4 43
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 2 3 173 1 4 5 356
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction 0 1 2 2 0 4 9 20
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 3 32 1 2 10 139
Total Journal Articles 15 56 199 6,453 50 162 657 24,029


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 7 23 353
Time Series Analysis by State Space Methods 0 0 0 0 12 38 188 1,909
Time Series Analysis by State Space Methods 0 0 0 0 7 26 105 1,067
Total Books 0 0 0 0 20 71 316 3,329


Statistics updated 2023-06-05