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Publications by Siem Jan Koopman

Predicting Time-Varying Parameters With Parameter-Driven and Observation-Driven Models

Review of Economics and Statistics

Social Sciences

English

Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis

Applied Mathematics

English

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

SSRN Electronic Journal

English

Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage Across European Cities

SSRN Electronic Journal

English

Nowcasting and Forecasting Economic Growth in the Euro Area Using Principal Components

SSRN Electronic Journal

English

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

SSRN Electronic Journal

English

Signal Extraction and the Formulation of Unobserved Components Models

Econometrics Journal

English

Forecasting Daily Time Series Using Periodic Unobserved Components Time Series Models

Computational Statistics and Data Analysis

Applied Mathematics

Computational Theory

Computational Mathematics

English

Credit Cycles and Macro Fundamentals

Journal of Empirical Finance

English

Forecasting Cross-Sections of Frailty-Correlated Default

SSRN Electronic Journal

English