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subject:"United States"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~subject:"Bayesian inference"
~subject:"Estimation theory"
~subject:"Multivariate Analyse"
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United States
Bayesian inference
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Estimation
22
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14
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14
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12
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Koopman, Siem Jan
Gupta, Rangan
65
Gil-Alaña, Luis A.
34
Bahmani-Oskooee, Mohsen
31
Caporale, Guglielmo Maria
29
Wohar, Mark E.
25
Kumbhakar, Subal
19
Koop, Gary
17
Tsionas, Efthymios G.
17
Apergēs, Nikolaos
16
Heckman, James J.
16
Payne, James E.
15
Bollerslev, Tim
14
Su, Liangjun
14
Tauchen, George Eugene
14
Balcilar, Mehmet
13
Chang, Tsangyao
13
Cheung, Yin-Wong
13
Hsing, Yu
13
Phillips, Peter C. B.
13
Tiwari, Aviral Kumar
13
Baltagi, Badi H.
12
Blundell, Richard W.
12
Cebula, Richard J.
12
Gao, Jiti
12
Lesage, James P.
12
Neumark, David
12
Pesaran, M. Hashem
12
Sarno, Lucio
12
Serletis, Apostolos
12
Todorov, Viktor
12
Chan, Joshua
11
Lubik, Thomas A.
11
Morley, James C.
11
Schorfheide, Frank
11
Österholm, Pär
11
Belke, Ansgar
10
Diebold, Francis X.
10
Egger, Peter
10
Engle, Robert F.
10
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Journal of applied econometrics
2
Oxford bulletin of economics and statistics
2
Econometric reviews
1
Economics letters
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
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1
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1
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1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
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ECONIS (ZBW)
14
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14
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1
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:
2
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:
3
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
4
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:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
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:
7
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
8
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:
9
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
10
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:
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