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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
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Time series analysis
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Kapetanios, George
Koopman, Siem Jan
Maravall Herrero, Agustín
Phillips, Peter C. B.
26
Taylor, Robert
18
Linton, Oliver
13
Chen, Xiaohong
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Koop, Gary
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Journal of econometrics
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102
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A history of market performance : from ancient Babylonia to the modern world
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng
;
Koopman, Siem Jan
;
Lit, Rutger
;
Petrova, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
Saved in:
5
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
6
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
Saved in:
7
Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
Saved in:
8
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
9
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
10
Adaptive forecasting in the presence of recent and ongoing structural change
Giraitis, Luidas
;
Kapetanios, George
;
Price, Simon
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 153-170
Persistent link: https://www.econbiz.de/10010254880
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