Details about Siem Jan Koopman

Homepage:	http://sjkoopman.net
Phone:	+31 20 598 6019
Postal address:	Department of Econometrics, School of Business and Economics, Vrije Universiteit Amsterdam, De Boelelaan 1105, NL-1081 HV Amsterdam, The Netherlands
Workplace:	Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC) Afdeling Econometrie and Operations Research (Department of Econometrics and Operations Research), School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)

Access statistics for papers by Siem Jan Koopman.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pko46

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Working Papers

2024

1. A Novel Test for the Presence of Local Explosive Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute
2. A robust Beveridge-Nelson decomposition using a score-driven approach with an application
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article A robust Beveridge–Nelson decomposition using a score-driven approach with an application, Economics Letters, Elsevier (2024) (2024)
3. Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute
4. Statistical Early Warning Models with Applications
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2023

5. A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors
   Tinbergen Institute Discussion Papers, Tinbergen Institute
6. Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2022

7. Finding the European crime drop using a panel data model with stochastic trends
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2021

8. Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence
   Tinbergen Institute Discussion Papers, Tinbergen Institute
9. Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   See also Journal Article Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data, International Journal of Forecasting, Elsevier (2021) View citations (1) (2021)
10. Forecasting in a changing world: from the great recession to the COVID-19 pandemic
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
11. Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
12. Time-varying state correlations in state space models and their estimation via indirect inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute
13. Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2020

14. A statistical model of the global carbon budget
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
15. Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects, Journal of Econometrics, Elsevier (2023) (2023)
16. Estimation of final standings in football competitions with premature ending: the case of COVID-19
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Estimation of final standings in football competitions with a premature ending: the case of COVID-19, AStA Advances in Statistical Analysis, Springer (2023) View citations (1) (2023)

2019

17. Bayesian Risk Forecasting for Long Horizons
    Tinbergen Institute Discussion Papers, Tinbergen Institute
18. Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors, Energy Economics, Elsevier (2021) View citations (10) (2021)
19. Partially Censored Posterior for Robust and Efficient Risk Evaluation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Working Paper, Norges Bank (2019)
    See also Journal Article Partially censored posterior for robust and efficient risk evaluation, Journal of Econometrics, Elsevier (2020) View citations (3) (2020)

2018

20. A Time-Varying Parameter Model for Local Explosions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article A time-varying parameter model for local explosions, Journal of Econometrics, Elsevier (2022) View citations (3) (2022)
21. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Bayesian Dynamic Modeling of High-Frequency Integer Price Changes, Journal of Financial Econometrics, Oxford University Press (2018) View citations (3) (2018)
22. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
    Post-Print, HAL View citations (2)
    Also in Papers, arXiv.org (2016) View citations (7)
23. Forecasting economic time series using score-driven dynamic models with mixed-data sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article Forecasting economic time series using score-driven dynamic models with mixed-data sampling, International Journal of Forecasting, Elsevier (2019) View citations (10) (2019)
24. Generalized Autoregressive Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
25. Missing Observations in Observation-Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article Missing observations in observation-driven time series models, Journal of Econometrics, Elsevier (2021) View citations (1) (2021)
26. The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
27. Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2017

28. Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
    Tinbergen Institute Discussion Papers, Tinbergen Institute
29. Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
    NBP Working Papers, Narodowy Bank Polski
30. Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Forecasting football match results in national league competitions using score-driven time series models, International Journal of Forecasting, Elsevier (2019) View citations (17) (2019)
31. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (27)
    See also Journal Article Maximum likelihood estimation for score-driven models, Journal of Econometrics, Elsevier (2022) View citations (19) (2022)

2016

32. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
33. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
    See also Journal Article Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (14) (2017)
34. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (1) (2017)
35. Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (75)
    See also Journal Article Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area, Economics Letters, Elsevier (2016) View citations (85) (2016)
36. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
37. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model, Journal of Financial Econometrics, Oxford University Press (2019) View citations (22) (2019)
38. The Dynamic Factor Network Model with an Application to Global Credit-Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Papers, Federal Reserve Bank of Boston (2016) View citations (1)
39. The information in systemic risk rankings
    Working Paper Series, European Central Bank View citations (29)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (6)
    See also Journal Article The information in systemic risk rankings, Journal of Empirical Finance, Elsevier (2016) View citations (26) (2016)

2015

40. A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
41. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
42. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models, International Journal of Forecasting, Elsevier (2016) View citations (20) (2016)
43. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model, Journal of the American Statistical Association, Taylor & Francis Journals (2017) View citations (21) (2017)
44. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
45. The Dynamic Skellam Model with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2014

46. A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
47. Empirical Bayes Methods for Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Empirical Bayes Methods for Dynamic Factor Models, The Review of Economics and Statistics, MIT Press (2017) View citations (6) (2017)
48. Fast Efficient Importance Sampling by State Space Methods
    Tinbergen Institute Discussion Papers, Tinbergen Institute
49. Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Generalized dynamic panel data models with random effects for cross-section and time, Journal of Econometrics, Elsevier (2014) View citations (12) (2014)
50. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
51. Likelihood-based Analysis for Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
52. Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
53. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
54. Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
    Tinbergen Institute Discussion Papers, Tinbergen Institute
55. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
56. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (7)
    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) View citations (69) (2016)
57. Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute
58. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
59. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
    See also Journal Article Time-Varying Transition Probabilities for Markov Regime Switching Models, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (35) (2017)

2013

60. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
    See also Journal Article Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk, The Review of Economics and Statistics, MIT Press (2014) View citations (78) (2014)

2012

61. A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2015) View citations (39) (2015)
62. A Forty Year Assessment of Forecasting the Boat Race
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
63. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank View citations (37)
    See also Journal Article Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (35) (2012)
64. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
    See also Journal Article Forecasting interest rates with shifting endpoints, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (26) (2014)
65. Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Forecasting macroeconomic variables using collapsed dynamic factor analysis, International Journal of Forecasting, Elsevier (2014) View citations (36) (2014)
66. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (25) (2015)
67. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (17)
    See also Journal Article Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, The Review of Economics and Statistics, MIT Press (2016) View citations (73) (2016)
68. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium View citations (5)
69. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
70. Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2011

71. Dynamic Factor Analysis in The Presence of Missing Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
72. Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    See also Journal Article Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model, International Journal of Forecasting, Elsevier (2013) View citations (12) (2013)
73. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article Long memory dynamics for multivariate dependence under heavy tails, Journal of Empirical Finance, Elsevier (2014) View citations (29) (2014)
74. Maximum likelihood estimation for dynamic factor models with missing data
    Post-Print, HAL View citations (55)
    See also Journal Article Maximum likelihood estimation for dynamic factor models with missing data, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (55) (2011)
75. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
76. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    See also Journal Article Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Econometric Reviews, Taylor & Francis Journals (2016) View citations (4) (2016)
77. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank View citations (38)
78. The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures, Journal of Financial Econometrics, Oxford University Press (2012) View citations (38) (2012)

2010

79. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    See also Journal Article A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (162) (2011)
80. Common business and housing market cycles in the Euro area from a multivariate decomposition
    Working papers, Banque de France View citations (17)
81. Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
82. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
83. Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Modelling trigonometric seasonal components for monthly economic time series, Applied Economics, Taylor & Francis Journals (2013) View citations (4) (2013)
84. Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
    Tinbergen Institute Discussion Papers, Tinbergen Institute
85. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

2009

86. A General Framework for Observation Driven Time-Varying Parameter Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (41)
87. Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (11) (2014)
88. Spot Variance Path Estimation and its Application to High Frequency Jump Testing
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing, Journal of Financial Econometrics, Oxford University Press (2012) View citations (14) (2012)

2008

89. An Hourly Periodic State Space Model for Modelling French National Electricity Load
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (47)
    See also Journal Article An hourly periodic state space model for modelling French national electricity load, International Journal of Forecasting, Elsevier (2008) View citations (47) (2008)
90. Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
    Working Papers, University of Washington, Department of Economics
    See also Journal Article Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (7) (2010)
91. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
92. Likelihood Functions for State Space Models with Diffuse Initial Conditions
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Likelihood functions for state space models with diffuse initial conditions, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (24) (2010)
93. Spline Smoothing over Difficult Regions
    Tinbergen Institute Discussion Papers, Tinbergen Institute
94. The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2007

95. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
96. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2008) View citations (4) (2008)
97. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)

2006

98. Credit Cycles and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) View citations (8)
    See also Journal Article Credit cycles and macro fundamentals, Journal of Empirical Finance, Elsevier (2009) View citations (67) (2009)
99. Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute
100. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     See also Journal Article Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009) View citations (6) (2009)

2005

101. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
     See also Journal Article A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (19) (2008)
102. Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
103. Model-based Measurement of Actual Volatility in High-Frequency Data
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
     See also Chapter Model-Based Measurement of Actual Volatility in High-Frequency Data, Advances in Econometrics, Emerald Group Publishing Limited (2006) (2006)
104. Model-based Measurement of Latent Risk in Time Series with Applications
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     See also Journal Article Model‐based measurement of latent risk in time series with applications, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2008) View citations (3) (2008)
105. On Importance Sampling for State Space Models
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
106. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
     See also Journal Article Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices, Journal of the American Statistical Association, American Statistical Association (2007) View citations (155) (2007)
107. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
     See also Journal Article The multi-state latent factor intensity model for credit rating transitions, Journal of Econometrics, Elsevier (2008) View citations (74) (2008)

2004

108. Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     See also Journal Article Forecasting daily time series using periodic unobserved components time series models, Computational Statistics & Data Analysis, Elsevier (2006) View citations (13) (2006)
109. Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
     Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (19)
     See also Journal Article Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements, Journal of Empirical Finance, Elsevier (2005) View citations (329) (2005)
110. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
     Econometric Society 2004 Australasian Meetings, Econometric Society View citations (14)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (13)

2003

111. Business and Default Cycles for Credit Risk
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
     See also Journal Article Business and default cycles for credit risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (17) (2005)
112. Convergence in European GDP Series
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
113. Intervention Time Series Analysis of Crime Rates
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
114. Measuring Synchronisation and Convergence of Business Cycles
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
115. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
116. Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
     Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
     Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (3)

2002

117. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
118. Stock Index Volatility Forecasting with High Frequency Data
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
119. Testing the Assumptions Behind the Use of Importance Sampling
     Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
120. Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
     Tinbergen Institute Discussion Papers, Tinbergen Institute

2001

121. An efficient and simple simulation smoother for state space time series analysis
     Computing in Economics and Finance 2001, Society for Computational Economics View citations (9)
122. Constructing seasonally adjusted data with time-varying confidence intervals
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
     See also Journal Article Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2002) View citations (3) (2002)
123. Time Series Modelling of Daily Tax Revenues
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
     Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (3)
     See also Journal Article Time Series Modelling of Daily Tax Revenues, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2003) View citations (12) (2003)

2000

124. Computing Observation Weights for Signal Extraction and Filtering
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society
     See also Journal Article Computing observation weights for signal extraction and filtering, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (82) (2003)
125. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
126. The Stochastic Volatility in Mean Model
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

1999

127. Fast Estimation of Parameters in State Space Models
     Computing in Economics and Finance 1999, Society for Computational Economics
128. Signal Extraction and the Formulation of Unobserved Components Models
     Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
     Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1999) View citations (2)
     See also Journal Article Signal extraction and the formulation of unobserved components models, Econometrics Journal, Royal Economic Society (2000) View citations (57) (2000)

1998

129. Fast Filtering and Smoothing for Multivariate State Space Models
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (10)
     See also Journal Article Fast Filtering and Smoothing for Multivariate State Space Models, Journal of Time Series Analysis, Wiley Blackwell (2000) View citations (96) (2000)
130. Modelling bid-ask spreads in competitive dealership markets
     Other publications TiSEM, Tilburg University, School of Economics and Management
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1998)
131. Statistical Algorithms for Models in State Space Using SsfPack 2.2
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (11)
     See also Journal Article Statistical algorithms for models in state space using SsfPack 2.2, Econometrics Journal, Royal Economic Society (1999) View citations (262) (1999)
132. Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (3)
     See also Journal Article Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2000) View citations (117) (2000)

1997

133. Interaction between Supply and Demand Shocks in Production and Employment
     Tinbergen Institute Discussion Papers, Tinbergen Institute
134. Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1996

135. Interaction between supply and demand in production and employment
     Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
136. Maximum Likelihood Estimation of Stochastic Volatility Models
     FMG Discussion Papers, Financial Markets Group View citations (4)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1996)
137. 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.)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)

1995

138. The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1992

139. Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (5)

Undated

140. Seasonality with Trend and Cycle Interactions in Unobserved Components Models
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     See also Journal Article Seasonality with trend and cycle interactions in unobserved components models, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2009) View citations (5) (2009)

Journal Articles

2024

1. A regression-based approach to the CO2 airborne fraction
   Nature Communications, 2024, 15, (1), 1-9
2. A robust Beveridge–Nelson decomposition using a score-driven approach with an application
   Economics Letters, 2024, 236, (C)
   See also Working Paper A robust Beveridge-Nelson decomposition using a score-driven approach with an application, Tinbergen Institute Discussion Papers (2024) (2024)
3. Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
   Econometric Reviews, 2024, 43, (8), 638-670
4. Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
   Journal of Econometrics, 2024, 238, (1) View citations (2)
5. Observation-driven filtering of time-varying parameters using moment conditions
   Journal of Econometrics, 2024, 238, (2) View citations (2)

2023

6. Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
   Journal of Econometrics, 2023, 237, (2)
   See also Working Paper Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects, Tinbergen Institute Discussion Papers (2020) View citations (3) (2020)
7. Estimation of final standings in football competitions with a premature ending: the case of COVID-19
   AStA Advances in Statistical Analysis, 2023, 107, (1), 233-250 View citations (1)
   See also Working Paper Estimation of final standings in football competitions with premature ending: the case of COVID-19, Tinbergen Institute Discussion Papers (2020) (2020)
8. On the evidence of a trend in the CO2 airborne fraction
   Nature, 2023, 616, (7956), E1-E3
9. Time-Varying Parameters in Econometrics: The editor’s foreword
   Journal of Econometrics, 2023, 237, (2)

2022

10. A time-varying parameter model for local explosions
    Journal of Econometrics, 2022, 227, (1), 65-84 View citations (3)
    See also Working Paper A Time-Varying Parameter Model for Local Explosions, Tinbergen Institute Discussion Papers (2018) View citations (1) (2018)
11. Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies
    Oxford Bulletin of Economics and Statistics, 2022, 84, (1), 57-79 View citations (7)
12. Maximum likelihood estimation for score-driven models
    Journal of Econometrics, 2022, 227, (2), 325-346 View citations (19)
    See also Working Paper Maximum Likelihood Estimation for Score-Driven Models, Tinbergen Institute Discussion Papers (2017) View citations (27) (2017)

2021

13. Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data
    International Journal of Forecasting, 2021, 37, (4), 1426-1441 View citations (1)
    See also Working Paper Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data, Tinbergen Institute Discussion Papers (2021) View citations (1) (2021)
14. Missing observations in observation-driven time series models
    Journal of Econometrics, 2021, 221, (2), 542-568 View citations (1)
    See also Working Paper Missing Observations in Observation-Driven Time Series Models, Tinbergen Institute Discussion Papers (2018) View citations (2) (2018)
15. Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
    Energy Economics, 2021, 96, (C) View citations (10)
    See also Working Paper Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors, CREATES Research Papers (2019) View citations (3) (2019)
16. Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
    Journal of Applied Econometrics, 2021, 36, (5), 614-627

2020

17. Long-term forecasting of El Niño events via dynamic factor simulations
    Journal of Econometrics, 2020, 214, (1), 46-66
18. Nonlinear autoregressive models with optimality properties
    Econometric Reviews, 2020, 39, (6), 559-578 View citations (3)
19. Partially censored posterior for robust and efficient risk evaluation
    Journal of Econometrics, 2020, 217, (2), 335-355 View citations (3)
    See also Working Paper Partially Censored Posterior for Robust and Efficient Risk Evaluation, Tinbergen Institute Discussion Papers (2019) (2019)
20. The dynamic factor network model with an application to international trade
    Journal of Econometrics, 2020, 216, (2), 494-515 View citations (4)

2019

21. Accelerating score-driven time series models
    Journal of Econometrics, 2019, 212, (2), 359-376 View citations (8)
22. Forecasting economic time series using score-driven dynamic models with mixed-data sampling
    International Journal of Forecasting, 2019, 35, (4), 1735-1747 View citations (10)
    See also Working Paper Forecasting economic time series using score-driven dynamic models with mixed-data sampling, Tinbergen Institute Discussion Papers (2018) View citations (1) (2018)
23. Forecasting football match results in national league competitions using score-driven time series models
    International Journal of Forecasting, 2019, 35, (2), 797-809 View citations (17)
    See also Working Paper Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models, Tinbergen Institute Discussion Papers (2017) View citations (3) (2017)
24. Modified efficient importance sampling for partially non‐Gaussian state space models
    Statistica Neerlandica, 2019, 73, (1), 44-62 View citations (2)
25. Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    Journal of Financial Econometrics, 2019, 17, (1), 1-32 View citations (22)
    See also Working Paper Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model, Tinbergen Institute Discussion Papers (2016) View citations (2) (2016)
26. The analysis and forecasting of tennis matches by using a high dimensional dynamic model
    Journal of the Royal Statistical Society Series A, 2019, 182, (4), 1393-1409 View citations (6)

2018

27. Amendments and Corrections
    Biometrika, 2018, 105, (3), 753-753
28. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
    Journal of Financial Econometrics, 2018, 16, (3), 384-424 View citations (3)
    See also Working Paper Bayesian Dynamic Modeling of High-Frequency Integer Price Changes, Tinbergen Institute Discussion Papers (2018) View citations (3) (2018)
29. Dynamic discrete copula models for high‐frequency stock price changes
    Journal of Applied Econometrics, 2018, 33, (7), 966-985 View citations (6)

2017

30. Empirical Bayes Methods for Dynamic Factor Models
    The Review of Economics and Statistics, 2017, 99, (3), 486-498 View citations (6)
    See also Working Paper Empirical Bayes Methods for Dynamic Factor Models, Tinbergen Institute Discussion Papers (2014) View citations (3) (2014)
31. Global Credit Risk: World, Country and Industry Factors
    Journal of Applied Econometrics, 2017, 32, (2), 296-317 View citations (14)
    See also Working Paper Global credit risk: world country and industry factors, Working Paper Series (2016) View citations (8) (2016)
32. Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
    Journal of the American Statistical Association, 2017, 112, (520), 1490-1503 View citations (21)
    See also Working Paper Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model, Tinbergen Institute Discussion Papers (2015) (2015)
33. Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
    Journal of Applied Econometrics, 2017, 32, (5), 1003-1026 View citations (1)
    See also Working Paper Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models, Tinbergen Institute Discussion Papers (2016) (2016)
34. Testing for Parameter Instability across Different Modeling Frameworks
    Journal of Financial Econometrics, 2017, 15, (2), 223-246 View citations (9)
35. Time-Varying Transition Probabilities for Markov Regime Switching Models
    Journal of Time Series Analysis, 2017, 38, (3), 458-478 View citations (35)
    See also Working Paper Time Varying Transition Probabilities for Markov Regime Switching Models, Tinbergen Institute Discussion Papers (2014) View citations (13) (2014)

2016

36. Forecasting and nowcasting economic growth in the euro area using factor models
    International Journal of Forecasting, 2016, 32, (4), 1284-1305 View citations (18)
37. In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
    International Journal of Forecasting, 2016, 32, (3), 875-887 View citations (20)
    See also Working Paper In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models, Tinbergen Institute Discussion Papers (2015) View citations (2) (2015)
38. Intervention time series analysis of crime rates: The case of sentence reform in Virginia
    Economic Modelling, 2016, 57, (C), 311-323 View citations (3)
39. Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area
    Economics Letters, 2016, 145, (C), 83-87 View citations (85)
    See also Working Paper Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area, Tinbergen Institute Discussion Papers (2016) View citations (75) (2016)
40. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
    Econometric Reviews, 2016, 35, (4), 659-687 View citations (4)
    See also Working Paper Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Tinbergen Institute Discussion Papers (2011) View citations (4) (2011)
41. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    The Review of Economics and Statistics, 2016, 98, (1), 97-110 View citations (73)
    See also Working Paper Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, Tinbergen Institute Discussion Papers (2012) View citations (17) (2012)
42. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 View citations (69)
    See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) View citations (16) (2014)
43. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (26)
    See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) View citations (29) (2016)
44. Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 405-417 View citations (22)

2015

45. A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 167-186 View citations (39)
    See also Working Paper A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League, Tinbergen Institute Discussion Papers (2012) View citations (2) (2012)
46. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 View citations (94)
47. Likelihood‐based dynamic factor analysis for measurement and forecasting
    Econometrics Journal, 2015, 18, (2), C1-C21 View citations (33)
48. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
    Journal of Business & Economic Statistics, 2015, 33, (1), 114-127 View citations (25)
    See also Working Paper Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models, Tinbergen Institute Discussion Papers (2012) View citations (1) (2012)

2014

49. Forecasting interest rates with shifting endpoints
    Journal of Applied Econometrics, 2014, 29, (5), 693-712 View citations (26)
    See also Working Paper Forecasting Interest Rates with Shifting Endpoints, Tinbergen Institute Discussion Papers (2012) View citations (7) (2012)
50. Forecasting macroeconomic variables using collapsed dynamic factor analysis
    International Journal of Forecasting, 2014, 30, (3), 572-584 View citations (36)
    See also Working Paper Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis, Tinbergen Institute Discussion Papers (2012) (2012)
51. Generalized dynamic panel data models with random effects for cross-section and time
    Journal of Econometrics, 2014, 180, (2), 127-140 View citations (12)
    See also Working Paper Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time, Tinbergen Institute Discussion Papers (2014) View citations (10) (2014)
52. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 View citations (29)
    See also Working Paper Long Memory Dynamics for Multivariate Dependence under Heavy Tails, Tinbergen Institute Discussion Papers (2011) View citations (5) (2011)
53. Long memory with stochastic variance model: A recursive analysis for US inflation
    Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 View citations (13)
54. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (6)
55. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 View citations (78)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) View citations (11) (2013)
56. SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
    Journal of Applied Econometrics, 2014, 29, (1), 65-90 View citations (11)
    See also Working Paper Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates, CREATES Research Papers (2009) View citations (1) (2009)

2013

57. Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
    International Journal of Forecasting, 2013, 29, (4), 676-694 View citations (12)
    See also Working Paper Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model, Tinbergen Institute Discussion Papers (2011) View citations (4) (2011)
58. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 View citations (490)
59. Modelling trigonometric seasonal components for monthly economic time series
    Applied Economics, 2013, 45, (21), 3024-3034 View citations (4)
    See also Working Paper Modeling Trigonometric Seasonal Components for Monthly Economic Time Series, Tinbergen Institute Discussion Papers (2010) (2010)

2012

60. Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
    Journal of Business & Economic Statistics, 2012, 30, (4), 521-532 View citations (35)
    See also Working Paper Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008, Working Paper Series (2012) View citations (37) (2012)
61. Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
    Computational Statistics & Data Analysis, 2012, 56, (11), 3134-3152 View citations (11)
62. Economic Trends and Cycles in Crime: A Study for England and Wales
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2012, 232, (6), 652-677 View citations (1)
63. Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
    Journal of Financial Econometrics, 2012, 10, (2), 354-389 View citations (14)
    See also Working Paper Spot Variance Path Estimation and its Application to High Frequency Jump Testing, Tinbergen Institute Discussion Papers (2009) View citations (1) (2009)
64. The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
    Journal of Financial Econometrics, 2012, 11, (1), 76-115 View citations (38)
    See also Working Paper The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures, Tinbergen Institute Discussion Papers (2011) View citations (3) (2011)

2011

65. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 View citations (162)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 (2011) View citations (163)
    See also Working Paper A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Tinbergen Institute Discussion Papers (2010) View citations (21) (2010)
66. Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
    Journal of Forecasting, 2011, 30, (1), 147-167 View citations (1)
67. Maximum likelihood estimation for dynamic factor models with missing data
    Journal of Economic Dynamics and Control, 2011, 35, (8), 1358-1368 View citations (55)
    See also Working Paper Maximum likelihood estimation for dynamic factor models with missing data, Post-Print (2011) View citations (55) (2011)
68. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 View citations (91)
69. Statistical Software for State Space Methods
    Journal of Statistical Software, 2011, 041, (i01) View citations (27)

2010

70. Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
    Journal of Business & Economic Statistics, 2010, 28, (3), 329-343 View citations (82)
71. Exact maximum likelihood estimation for non-stationary periodic time series models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2641-2654 View citations (7)
72. Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
    International Journal of Forecasting, 2010, 26, (4), 647-651
73. Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
    Journal of Applied Econometrics, 2010, 25, (4), 695-719 View citations (7)
    See also Working Paper Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter, Working Papers (2008) (2008)
74. Likelihood functions for state space models with diffuse initial conditions
    Journal of Time Series Analysis, 2010, 31, (6), 407-414 View citations (24)
    See also Working Paper Likelihood Functions for State Space Models with Diffuse Initial Conditions, Tinbergen Institute Discussion Papers (2008) (2008)
75. Multivariate non‐linear time series modelling of exposure and risk in road safety research
    Journal of the Royal Statistical Society Series C, 2010, 59, (1), 145-161 View citations (4)

2009

76. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 View citations (67)
    See also Working Paper Credit Cycles and Macro Fundamentals, Tinbergen Institute Discussion Papers (2006) View citations (2) (2006)
77. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 683-713 View citations (6)
    See also Working Paper Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment, Tinbergen Institute Discussion Papers (2006) (2006)
78. Seasonality with trend and cycle interactions in unobserved components models
    Journal of the Royal Statistical Society Series C, 2009, 58, (4), 427-448 View citations (5)
    See also Working Paper Seasonality with Trend and Cycle Interactions in Unobserved Components Models, Tinbergen Institute Discussion Papers View citations (2)
79. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 View citations (34)

2008

80. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Journal of Business & Economic Statistics, 2008, 26, 510-525 View citations (19)
    See also Working Paper A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk, Tinbergen Institute Discussion Papers (2005) View citations (11) (2005)
81. An hourly periodic state space model for modelling French national electricity load
    International Journal of Forecasting, 2008, 24, (4), 566-587 View citations (47)
    See also Working Paper An Hourly Periodic State Space Model for Modelling French National Electricity Load, Tinbergen Institute Discussion Papers (2008) View citations (47) (2008)
82. Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 View citations (4)
    See also Working Paper Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model, Tinbergen Institute Discussion Papers (2007) (2007)
83. Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (1), 23-51 View citations (45)
84. Model‐based measurement of latent risk in time series with applications
    Journal of the Royal Statistical Society Series A, 2008, 171, (1), 265-277 View citations (3)
    See also Working Paper Model-based Measurement of Latent Risk in Time Series with Applications, Tinbergen Institute Discussion Papers (2005) (2005)
85. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 View citations (74)
    See also Working Paper The Multi-State Latent Factor Intensity Model for Credit Rating Transitions, Tinbergen Institute Discussion Papers (2005) View citations (10) (2005)

2007

86. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225 View citations (44)
87. Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
    Biometrika, 2007, 94, (4), 827-839 View citations (26)
88. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 View citations (155)
    See also Working Paper Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, Tinbergen Institute Discussion Papers (2005) View citations (4) (2005)

2006

89. A non-Gaussian generalization of the Airline model for robust seasonal adjustment
    Journal of Forecasting, 2006, 25, (5), 325-349 View citations (8)
90. Forecasting daily time series using periodic unobserved components time series models
    Computational Statistics & Data Analysis, 2006, 51, (2), 885-903 View citations (13)
    See also Working Paper Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models, Tinbergen Institute Discussion Papers (2004) (2004)
91. Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
    Econometric Reviews, 2006, 25, (2-3), 385-408 View citations (17)
92. Special Issue on Nonlinear Modelling and Financial Econometrics
    Computational Statistics & Data Analysis, 2006, 51, (4), 2115-2117 View citations (3)
93. Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
    Journal of Business & Economic Statistics, 2006, 24, 278-290 View citations (59)

2005

94. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations (17)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 311-323 (2005) View citations (98)
    See also Working Paper Business and Default Cycles for Credit Risk, Tinbergen Institute Discussion Papers (2003) View citations (4) (2003)
95. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations (37)
96. Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
    Journal of Empirical Finance, 2005, 12, (3), 445-475 View citations (329)
    See also Working Paper Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements, Tinbergen Institute Discussion Papers (2004) View citations (7) (2004)

2004

97. Convergence in European GDP series: a multivariate common converging trend-cycle decomposition
    Journal of Applied Econometrics, 2004, 19, (5), 611-636 View citations (33)
98. Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 17 View citations (10)
99. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 View citations (15)

2003

100. Computing observation weights for signal extraction and filtering
     Journal of Economic Dynamics and Control, 2003, 27, (7), 1317-1333 View citations (82)
     See also Working Paper Computing Observation Weights for Signal Extraction and Filtering, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)
101. Filtering and smoothing of state vector for diffuse state‐space models
     Journal of Time Series Analysis, 2003, 24, (1), 85-98 View citations (40)
102. Time Series Modelling of Daily Tax Revenues
     Statistica Neerlandica, 2003, 57, (4), 439-469 View citations (12)
     See also Working Paper Time Series Modelling of Daily Tax Revenues, Tinbergen Institute Discussion Papers (2001) View citations (1) (2001)

2002

103. Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals
     Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 509-526 View citations (3)
     See also Working Paper Constructing seasonally adjusted data with time-varying confidence intervals, Econometric Institute Research Papers (2001) View citations (1) (2001)
104. Discussion of ‘MCMC‐based inference’ by R. Paap
     Statistica Neerlandica, 2002, 56, (1), 34-40
105. The stochastic volatility in mean model: empirical evidence from international stock markets
     Journal of Applied Econometrics, 2002, 17, (6), 667-689 View citations (36)
     Also in Journal of Applied Econometrics, 2002, 17, (6), 667-689 (2002) View citations (113)

2001

106. Interaction between structural and cyclical shocks in production and employment
     Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (2), 273-296 View citations (6)

2000

107. Fast Filtering and Smoothing for Multivariate State Space Models
     Journal of Time Series Analysis, 2000, 21, (3), 281-296 View citations (96)
     See also Working Paper Fast Filtering and Smoothing for Multivariate State Space Models, Other publications TiSEM (1998) View citations (2) (1998)
108. Signal extraction and the formulation of unobserved components models
     Econometrics Journal, 2000, 3, (1), 84-107 View citations (57)
     See also Working Paper Signal Extraction and the Formulation of Unobserved Components Models, Discussion Paper (1999) View citations (2) (1999)
109. Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives
     Journal of the Royal Statistical Society Series B, 2000, 62, (1), 3-56 View citations (117)
     See also Working Paper Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives, Other publications TiSEM (1998) View citations (1) (1998)

1999

110. Statistical algorithms for models in state space using SsfPack 2.2
     Econometrics Journal, 1999, 2, (1), 107-160 View citations (262)
     See also Working Paper Statistical Algorithms for Models in State Space Using SsfPack 2.2, Other publications TiSEM (1998) View citations (1) (1998)

1998

111. Estimation of stochastic volatility models via Monte Carlo maximum likelihood
     Journal of Econometrics, 1998, 87, (2), 271-301 View citations (164)

1997

112. Detecting shocks: Outliers and breaks in time series
     Journal of Econometrics, 1997, 80, (2), 387-422 View citations (27)
113. The Modeling and Seasonal Adjustment of Weekly Observations
     Journal of Business & Economic Statistics, 1997, 15, (3), 354-68 View citations (45)

1992

114. Diagnostic Checking of Unobserved-Components Time Series Models
     Journal of Business & Economic Statistics, 1992, 10, (4), 377-89 View citations (172)

Books

2012

1. Time Series Analysis by State Space Methods
   OUP Catalogue, Oxford University Press View citations (678)
   Also in OUP Catalogue, Oxford University Press (2001) View citations (839)

2007

2. An Introduction to State Space Time Series Analysis
   OUP Catalogue, Oxford University Press View citations (111)

Edited books

2015

1. Unobserved Components and Time Series Econometrics
   OUP Catalogue, Oxford University Press View citations (10)

2012

2. State Space and Unobserved Component Models
   Cambridge Books, Cambridge University Press

Chapters

2006

1. Model-Based Measurement of Actual Volatility in High-Frequency Data
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 183-210
   See also Working Paper Model-based Measurement of Actual Volatility in High-Frequency Data, Tinbergen Institute (2005) View citations (3) (2005)
2. Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 199-219

1999

3. MESSY TIME SERIES
   A chapter in Messy Data, 1999, pp 103-143