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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
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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
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Time-Varying parameters in econometrics : the editor's foreword
Blasques, Francisco; Harvey, Andrew C.; Koopman, Siem Jan; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-3
Persistent link: https://www.econbiz.de/10014471515
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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
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - In: Journal of econometrics 227 (2022) 1, pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - In: Journal of econometrics 238 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015073825
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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André - In: Journal of econometrics 142 (2008) 1, pp. 399-424
Persistent link: https://www.econbiz.de/10007894504
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Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of econometrics 162 (2011) 2, pp. 312-326
Persistent link: https://www.econbiz.de/10008997619
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Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of econometrics 162 (2011) 2, pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - In: Journal of econometrics 142 (2008) 1, pp. 399-424
Persistent link: https://www.econbiz.de/10003608208