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Trend-cycle decomposition models with smooth-transition parameters: Evidence from US economic time series
Koopman, Siem Jan; Lee, Kai Ming; Wong, Soon Yip - In: Nonlinear time series analysis of business cycles, (pp. 199-219). 2006
Persistent link: https://www.econbiz.de/10003312252
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics
Zivot, Eric; Wang, Jeffrey; Koopman, Siem Jan - In: State space and unobserved component models : theory …, (pp. 284-335). 2004
Persistent link: https://www.econbiz.de/10009719920
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Analysis of historical time series with messy features : the case of commodity prices in Babylonia
Koopman, Siem Jan; Hoogerheide, Lennart - In: A history of market performance : from ancient …, (pp. 45-67). 2015
Persistent link: https://www.econbiz.de/10010406614
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The common converging trend-cycle model : estimation, modeling and an application to European convergence
Luginbuhl, Rob; Koopman, Siem Jan - In: Monographs of official statistics : papers and …, (pp. 264-291). 2004
Persistent link: https://www.econbiz.de/10003398184
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Model-based business cycle and financial cycle decomposition for Europe and the United States
Koopman, Siem Jan; Lit, Rutger; Lucas, André - In: Systemic risk tomography : signals, measurement and …, (pp. 151-168). 2017
Persistent link: https://www.econbiz.de/10011617896
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Forecasting Economic Time Series Using Unobserved Components Time Series Models
Koopman, Siem Jan; Ooms, Marius - In: The Oxford handbook of economic forecasting. 2012
Persistent link: https://www.econbiz.de/10012882019