Siem Jan Koopman

Economics Vrije Universiteit Amsterdam, Amsterdam, Netherlands 
"Siem Koopman"
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Blasques F, Koopman SJ, Łasak K, et al. (2016) In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models International Journal of Forecasting
Nucera F, Schwaab B, Koopman SJ, et al. (2015) The information in systemic risk rankings Journal of Empirical Finance
Kontoghiorghes EJ, Van Dijk HK, Belsley DA, et al. (2014) CFEnetwork: The Annals of computational and financial econometrics: 2nd issue Computational Statistics and Data Analysis. 76: 1-3
van Dijk D, Koopman SJ, van der Wel M, et al. (2014) Forecasting interest rates with shifting endpoints Journal of Applied Econometrics. 29: 693-712
Belsley DA, Kontoghiorghes EJ, Van Dijk HK, et al. (2012) The Annals of Computational and Financial Econometrics, first issue Computational Statistics and Data Analysis. 56: 2991-2992
Koopman SJ, Wong SY. (2011) Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra Journal of Forecasting. 30: 147-167
Koopman SJ, Shephard N, Creal D. (2009) Testing the assumptions behind importance sampling Journal of Econometrics. 149: 2-11
Koopman SJ, Jungbacker B, Hol E. (2005) Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements Journal of Empirical Finance. 12: 445-475
Koopman SJ, Durbin J. (2003) Filtering and smoothing of state vector for diffuse state-space models Journal of Time Series Analysis. 24: 85-98
Durbin J, Koopman SJ. (2002) A simple and efficient simulation smoother for state space time series analysis Biometrika. 89: 603-615
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