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subject:"Volatility"
subject:"Yield curve"
~person:"Koopman, Siem Jan"
~subject:"Forecasting model"
~subject:"Konjunktur"
~type_genre:"Article in journal"
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Estimation
21
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14
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14
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12
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8
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6
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Koopman, Siem Jan
Gupta, Rangan
98
Pierdzioch, Christian
38
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36
Bahmani-Oskooee, Mohsen
35
McMillan, David G.
35
Ma, Feng
33
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30
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30
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29
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29
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27
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25
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25
Xuan Vinh Vo
25
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24
McAleer, Michael
24
Bollerslev, Tim
23
Zhang, Yaojie
22
Kumar, Dilip
21
Salisu, Afees A.
21
Döpke, Jörg
19
Apergēs, Nikolaos
17
Jalles, João Tovar
17
Mensi, Walid
17
Moosa, Imad A.
17
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16
Kang, Sang Hoon
16
Nonejad, Nima
16
Tiwari, Aviral Kumar
16
Wei, Yu
16
Asai, Manabu
15
Bali, Turan G.
15
Rashid, Abdul
15
Tauchen, George Eugene
15
Yin, Libo
15
Afonso, António
14
Andersen, Torben
14
Brooks, Robert
14
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14
Lee, Chien-chiang
14
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International journal of forecasting
5
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)
11
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1
Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
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
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:
4
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:
5
Forecasting and nowcasting economic growth in the euro area using factor models
Hindrayanto, Irma
;
Koopman, Siem Jan
;
Winter, Jasper de
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1284-1305
Persistent link: https://www.econbiz.de/10011622152
Saved in:
6
Discussion of "Forecasting macroeconomic variables using collapsed dynamic factor analysis" by Falk Bräuning and Siem Jan Koopman
Mitchell, James
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 585-588
Persistent link: https://www.econbiz.de/10010513602
Saved in:
7
Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk
;
Koopman, Siem Jan
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
Saved in:
8
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:
9
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:
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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