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The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
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Convergence in European GDP series : a multivariate common converging trend-cycle decomposition
Luginbuhl, Rob; Koopman, Siem Jan - 2003
Persistent link: https://www.econbiz.de/10001791917
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Round-the-clock price discovery for cross-listed stocks : US-Dutch evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001792414
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Intervention time series analysis of crime rates : the impact of sentence reforms in Virginia
Sridharan, Sanjeev; Vujic, Sunčica; Koopman, Siem Jan - 2003
Persistent link: https://www.econbiz.de/10001792528
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Measuring synchronisation and convergence of business cycles
Koopman, Siem Jan; Azevedo, João Valle e - 2003
Persistent link: https://www.econbiz.de/10001792608
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001792714
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Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
Persistent link: https://www.econbiz.de/10001792789
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Estimating stochastic volatility models : a comparison of two importance samplers
Lee, Kai Ming (contributor); Koopman, Siem Jan (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2
Persistent link: https://www.econbiz.de/10002651712
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004
Persistent link: https://www.econbiz.de/10001928200
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Periodic heteroskedastic RegAFRIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Persistent link: https://www.econbiz.de/10001883820