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subject:"Volatility"
subject:"Yield curve"
~person:"Koopman, Siem Jan"
~subject:"Konjunktur"
~type_genre:"Article in journal"
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Estimation
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Koopman, Siem Jan
Gupta, Rangan
70
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35
Gil-Alaña, Luis A.
30
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28
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27
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16
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16
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16
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16
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16
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16
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15
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15
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15
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15
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15
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14
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14
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14
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14
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14
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13
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13
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13
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13
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13
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12
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12
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12
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12
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Econometric reviews
1
Economics letters
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
6
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1
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
2
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
3
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
4
Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
Saved in:
5
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
6
Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus
;
Meyer, Renate
;
Koopman, Siem Jan
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
Saved in:
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