Access Statistics for Siem Jan Koopman

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League 0 2 9 242 4 15 41 514
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 64 1 3 11 185
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 74 4 7 23 138
A Forty Year Assessment of Forecasting the Boat Race 0 0 0 72 0 0 2 64
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 109 0 2 7 260
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 167 0 1 6 377
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 6 120 2 4 16 442
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 3 244 3 4 10 603
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 2 17
A Time-Varying Parameter Model for Local Explosions 1 1 3 64 1 3 15 58
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 1 2 2 35 1 3 5 39
An Hourly Periodic State Space Model for Modelling French National Electricity Load 0 1 2 228 2 5 13 556
An efficient and simple simulation smoother for state space time series analysis 0 0 0 179 2 8 42 1,100
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 2 6 285 3 6 27 646
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 1 59 0 1 7 37
Bayesian Risk Forecasting for Long Horizons 0 0 0 37 4 5 13 82
Business and Default Cycles for Credit Risk 0 0 2 878 2 5 20 1,847
Common business and housing market cycles in the Euro area from a multivariate decomposition 0 0 1 183 0 2 10 389
Computing Observation Weights for Signal Extraction and Filtering 0 0 1 259 1 2 8 610
Constructing seasonally adjusted data with time-varying confidence intervals 0 0 0 23 0 1 5 94
Convergence in European GDP Series 0 0 3 486 0 1 10 2,245
Credit Cycles and Macro Fundamentals 0 0 0 283 1 4 12 826
Credit cycles and macro fundamentals 0 0 1 176 6 11 25 546
Dynamic Factor Analysis in The Presence of Missing Data 0 2 4 194 1 3 20 370
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 66 0 1 8 220
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 3 52 1 5 16 141
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 2 68 1 2 13 79
Empirical Bayes Methods for Dynamic Factor Models 0 0 0 100 0 1 6 94
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 69 0 1 3 498
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 2 13 32
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series 0 0 2 98 0 0 7 307
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter 0 0 7 76 0 1 15 144
Fast Efficient Importance Sampling by State Space Methods 0 1 8 70 1 3 21 167
Fast Estimation of Parameters in State Space Models 0 0 0 0 0 3 6 844
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 2 12 1 1 9 40
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 14 1 2 8 33
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 4 20
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * 0 0 1 4 0 0 3 16
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 2 73 1 2 10 248
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models 0 0 4 347 4 7 19 1,105
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements 1 3 7 947 1 4 16 2,453
Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models 0 2 7 134 1 8 24 110
Forecasting Interest Rates with Shifting Endpoints 0 0 1 74 0 0 6 182
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis 0 0 6 177 0 1 19 391
Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements 0 0 0 3 0 1 6 1,071
Forecasting economic time series using score-driven dynamic models with mixed-data sampling 0 0 0 53 1 1 10 55
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 89 0 3 12 161
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility 0 0 0 808 0 1 6 2,102
Generalized Autoregressive Method of Moments 0 0 2 69 0 4 23 85
Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time 0 0 0 72 1 4 12 189
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 2 4 12 93
Global credit risk: world country and industry factors 0 1 2 30 1 3 14 79
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 14 0 0 4 47
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 1 2 57 0 2 11 47
Information Theoretic Optimality of Observation Driven Time Series Models 0 1 2 45 2 4 12 71
Interaction between Supply and Demand Shocks in Production and Employment 0 0 0 387 0 1 6 3,787
Interaction between supply and demand in production and employment 0 0 0 21 0 2 6 161
Intervention Time Series Analysis of Crime Rates 0 0 1 708 2 4 10 2,340
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 1 3 8 77
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 3 33 0 1 10 82
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 70 2 2 3 58
Likelihood Functions for State Space Models with Diffuse Initial Conditions 0 0 1 163 1 1 8 468
Likelihood-based Analysis for Dynamic Factor Models 1 2 3 283 3 5 12 530
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 1 46 0 0 19 125
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks 0 1 2 130 0 3 17 325
Long memory modelling of inflation with stochastic variance and structural breaks 0 0 0 47 1 2 10 188
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 45 1 2 6 77
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 56 1 2 6 147
Maximum Likelihood Estimation for Score-Driven Models 0 2 6 51 0 5 26 154
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 6 46 0 1 15 95
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 1 1,033 0 2 7 2,488
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 5 1 1 13 62
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series 0 0 0 218 0 0 2 751
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area 0 0 4 82 1 4 21 101
Measuring Synchronisation and Convergence of Business Cycles 0 0 1 361 0 1 7 871
Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area 1 1 5 62 2 5 24 163
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) 0 0 0 0 1 4 9 59
Missing Observations in Observation-Driven Time Series Models 0 0 2 45 2 5 17 58
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 83 1 5 16 128
Model-based Measurement of Actual Volatility in High-Frequency Data 0 0 0 230 0 1 4 748
Model-based Measurement of Latent Risk in Time Series with Applications 0 0 0 150 2 2 7 666
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 0 50 8 10 12 132
Modeling Trigonometric Seasonal Components for Monthly Economic Time Series 0 0 0 74 1 2 7 225
Modeling the business and financial cycle in a multivariate structural time series model 2 3 8 52 7 14 43 137
Modelling bid-ask spreads in competitive dealership markets 0 0 0 0 0 0 2 16
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production 0 0 0 65 1 4 14 161
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 53 1 4 17 144
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 22 91
Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components 0 0 1 100 2 3 17 87
Nowcasting and forecasting economic growth in the euro area using principal components 0 0 0 112 0 2 6 129
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 71 0 2 8 139
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 54 0 1 12 142
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 1 2 38 0 2 12 130
On Importance Sampling for State Space Models 0 0 0 179 0 2 4 517
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 3 50 0 2 8 85
Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices 0 0 0 352 0 1 7 947
Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices 0 0 0 175 0 1 9 570
Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices 0 1 2 473 1 3 12 1,206
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment 0 0 0 112 0 1 6 314
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 1 1 2 89 2 4 9 201
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 3 8 800
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 0 0 78 0 1 9 73
Regime switches in the volatility and correlation of financial institutions 0 0 1 97 0 0 5 168
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 240 0 0 5 1,036
Seasonality with Trend and Cycle Interactions in Unobserved Components Models 0 0 0 210 1 3 9 606
Signal Extraction and the Formulation of Unobserved Components Models 0 0 2 18 0 0 7 59
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 1 2 95 1 3 11 206
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 3 61 1 2 12 88
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 39 0 2 17 122
Spline Smoothing over Difficult Regions 0 0 0 64 0 0 7 183
Spot Variance Path Estimation and its Application to High Frequency Jump Testing 0 0 1 53 0 2 9 152
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 2 56 0 0 4 116
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 4 15 1 1 14 83
Stock Index Volatility Forecasting with High Frequency Data 1 3 8 851 3 7 22 2,178
Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia 0 1 1 49 1 2 5 201
Systemic Risk Diagnostics 0 0 0 92 0 1 4 200
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 145 2 3 10 431
Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities 0 0 0 25 0 1 7 48
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 18 0 1 7 60
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 4 5 486
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures 0 0 0 74 1 2 6 112
The Dynamic Factor Network Model with an Application to Global Credit-Risk 0 0 2 14 0 2 14 48
The Dynamic Skellam Model with Applications 0 0 8 30 1 1 21 119
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model 0 0 0 85 0 2 6 220
The Information in Systemic Risk Rankings 0 0 0 25 0 1 9 83
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 7 29
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 2 229 1 3 18 649
The Stochastic Volatility in Mean Model 0 0 1 488 2 3 7 1,082
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model 0 0 3 72 1 7 18 56
The dynamic factor network model with an application to global credit risk 0 0 1 39 0 1 9 113
The information in systemic risk rankings 0 0 3 35 2 3 23 124
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives 0 0 0 15 1 1 6 55
Time Series Modelling of Daily Tax Revenues 0 2 2 327 2 5 17 871
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series 0 0 0 481 1 2 5 1,425
Time Varying Transition Probabilities for Markov Regime Switching Models 0 3 11 101 3 14 53 326
Time-Series Modelling of Daily Tax Revenues 0 0 0 289 0 1 3 1,060
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 1 43 0 3 10 208
Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area 0 0 0 271 1 2 9 944
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction 0 1 2 77 2 6 24 104
Total Working Papers 11 43 228 19,948 133 384 1,656 58,175

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 3 54 0 3 21 185
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 3 9 23 2 5 24 77
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 47 1 2 7 185
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League 1 1 5 26 2 5 32 105
A non-Gaussian generalization of the Airline model for robust seasonal adjustment 0 0 0 65 0 0 2 295
Amendments and Corrections 0 1 1 1 0 1 4 4
An hourly periodic state space model for modelling French national electricity load 0 0 0 48 1 2 7 184
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 5 39 1 4 22 137
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes 0 0 0 1 0 1 3 12
Business and default cycles for credit risk 2 4 9 448 6 9 27 1,180
Computing observation weights for signal extraction and filtering 0 0 2 152 1 6 14 372
Convergence in European GDP series: a multivariate common converging trend-cycle decomposition 0 0 0 174 0 1 7 612
Credit cycles and macro fundamentals 0 1 6 189 3 6 19 542
Detecting shocks: Outliers and breaks in time series 0 0 3 124 3 3 9 324
Diagnostic Checking of Unobserved-Components Time Series Models 0 0 0 0 1 1 12 740
Discussion of ‘MCMC‐based inference’ by R. Paap 0 0 0 11 0 1 3 60
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 0 23 1 2 5 102
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 0 2 13
Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling 0 0 0 11 0 1 4 42
Economic Trends and Cycles in Crime: A Study for England and Wales 0 0 1 69 2 3 12 238
Empirical Bayes Methods for Dynamic Factor Models 1 1 2 9 2 6 22 87
Empirical credit cycles and capital buffer formation 0 0 1 139 0 1 6 379
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers 0 0 3 175 1 2 10 370
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 1 4 101
Estimation of stochastic volatility models via Monte Carlo maximum likelihood 1 1 7 462 1 3 18 1,032
Exact maximum likelihood estimation for non-stationary periodic time series models 0 0 0 32 0 2 5 175
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments 0 0 0 4 2 3 9 34
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter 0 0 5 131 1 4 21 336
Fast Filtering and Smoothing for Multivariate State Space Models 0 0 1 1 0 0 4 6
Filtering and smoothing of state vector for diffuse state‐space models 1 5 11 343 2 7 25 637
Forecasting and nowcasting economic growth in the euro area using factor models 0 1 1 15 0 4 12 56
Forecasting daily time series using periodic unobserved components time series models 0 0 1 50 0 0 5 135
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 3 6 16 338 5 14 47 951
Forecasting football match results in national league competitions using score-driven time series models 1 4 9 13 6 18 43 73
Forecasting interest rates with shifting endpoints 0 0 0 22 0 2 9 83
Forecasting macroeconomic variables using collapsed dynamic factor analysis 0 3 10 43 0 5 21 127
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 19 0 2 8 77
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 1 2 6 75 3 7 31 252
Generalized dynamic panel data models with random effects for cross-section and time 0 0 0 40 0 1 11 210
Global Credit Risk: World, Country and Industry Factors 0 2 3 6 1 5 20 52
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 1 5 6 12 1 5 17 55
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 3 13 0 1 10 42
Interaction between structural and cyclical shocks in production and employment 0 1 2 21 0 3 4 64
Intervention time series analysis of crime rates: The case of sentence reform in Virginia 1 1 1 20 1 2 8 99
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 1 1 1 3 10 14
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 1 1 5 18
Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra 0 0 0 32 0 0 1 108
Likelihood functions for state space models with diffuse initial conditions 0 0 1 24 0 0 5 89
Likelihood‐based dynamic factor analysis for measurement and forecasting 0 0 0 12 0 2 6 55
Long memory dynamics for multivariate dependence under heavy tails 0 0 1 13 0 1 10 79
Long memory with stochastic variance model: A recursive analysis for US inflation 1 1 2 10 1 2 4 42
Maximum likelihood estimation for dynamic factor models with missing data 1 1 1 98 1 1 7 265
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* 0 0 2 140 1 1 7 310
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area 0 0 10 46 1 8 38 144
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 1 5 72 1 4 12 181
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 1 61 0 2 7 228
Modelling trigonometric seasonal components for monthly economic time series 0 0 0 49 0 0 3 243
Model‐based measurement of latent risk in time series with applications 0 0 0 26 1 1 3 115
Modified efficient importance sampling for partially non‐Gaussian state space models 0 0 0 0 1 1 4 5
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models 2 2 7 104 2 2 10 214
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 0 0 5 74 1 3 16 196
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models 0 0 0 4 0 4 16 50
Multivariate non‐linear time series modelling of exposure and risk in road safety research 0 0 0 13 0 0 3 59
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 3 19 0 2 10 76
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 14 1 4 7 50
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 4 29 0 4 21 157
Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices 0 0 0 106 1 2 6 274
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* 0 0 0 20 0 1 5 100
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 5 16 2 8 20 79
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model 0 1 2 6 1 4 20 34
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES 0 1 1 8 0 2 9 37
Seasonality with trend and cycle interactions in unobserved components models 0 0 0 35 0 1 5 133
Signal extraction and the formulation of unobserved components models 0 0 0 4 0 2 8 1,458
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 0 3 5 86
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 3 7 13 0 4 16 88
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing 0 0 0 27 0 3 8 111
State Space Models With a Common Stochastic Variance 0 0 0 111 0 0 0 185
Statistical Software for State Space Methods 0 0 0 24 0 0 5 149
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 3 4 22 1,244
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 3 0 3 6 23
Testing the assumptions behind importance sampling 0 0 2 65 1 2 12 260
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 1 1 2 30 1 2 8 105
The Modeling and Seasonal Adjustment of Weekly Observations 0 0 0 0 0 4 15 875
The information in systemic risk rankings 0 0 4 16 1 2 15 71
The multi-state latent factor intensity model for credit rating transitions 0 0 11 145 2 6 28 424
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 1 0 2 10 15
The stochastic volatility in mean model: empirical evidence from international stock markets 0 0 0 463 0 0 7 1,394
Time Series Modelling of Daily Tax Revenues 1 2 2 33 1 2 3 106
Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives 0 0 1 170 1 1 4 368
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 6 1 2 9 28
Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter 0 1 3 168 1 2 10 343
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 2 4 24 4 12 19 101
Total Journal Articles 19 60 221 5,873 83 274 1,086 21,631

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 6 17 64 232
Time Series Analysis by State Space Methods 0 0 0 0 27 74 317 1,276
Time Series Analysis by State Space Methods 0 0 0 0 5 21 96 784
Total Books 0 0 0 0 38 112 477 2,292

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Statistics updated 2021-01-03