Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Journal of Financial Econometrics, 17(1), 1-32. Oxford University Press
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized wishart-garch : A score-driven multi-Asset volatility model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
Gorgi, P, Hansen, P R, Janus, P & Koopman, S J 2019, ' Realized Wishart-GARCH : A Score-driven Multi-Asset Volatility Model ', Journal of Financial Econometrics, vol. 17, no. 1, pp. 1-32 . https://doi.org/10.1093/jjfinec/nby007
We propose a novel multivariate GARCH model that incorporates realized measures for the covariance matrix of returns. The joint formulation of a multivariate dynamic model for outer-products of returns, realized variances, and realized covariances le
Publikováno v:
Calvori, F, Creal, D, Koopman, S J & Lucas, A 2017, ' Testing for parameter instability across different modeling frameworks ', Journal of Financial Econometrics, vol. 15, no. 2, pp. 223-246 . https://doi.org/10.1093/jjfinec/nbw008
Journal of Financial Econometrics, 15(2), 223-246. Oxford University Press
Calvori, F, Creal, D, Koopman, S J M & Lucas, A 2017, ' Testing for Parameter Instability across Different Modeling Frameworks ', Journal of Financial Econometrics, vol. 15, no. 2, pp. 223-246 . https://doi.org/10.1093/jjfinec/nbw008
Journal of Financial Econometrics, 15(2), 223-246. Oxford University Press
Calvori, F, Creal, D, Koopman, S J M & Lucas, A 2017, ' Testing for Parameter Instability across Different Modeling Frameworks ', Journal of Financial Econometrics, vol. 15, no. 2, pp. 223-246 . https://doi.org/10.1093/jjfinec/nbw008
We develop a new parameter instability test that generalizes the seminal ARCHLagrange Multiplier test of Engle (1982) for a constant variance against the alternative of autoregressive conditional heteroskedasticity to settings with nonlinear timevary
Publikováno v:
Galati, G, Hindrayanto, I, Koopman, S J M & Vlekke, M 2016, ' Measuring financial cycles in a model-based analysis : Empirical evidence for the United States and the euro area ', Economics Letters, vol. 145, no. August, pp. 83–87 . https://doi.org/10.1016/j.econlet.2016.05.034
Galati, E B G, Hindrayanto, A I W, Koopman, S J & Vlekke, M 2016, ' Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area ', Economics Letters, vol. 145, pp. 83-87 . https://doi.org/10.1016/j.econlet.2016.05.034
Economics Letters, 145, 83-87. Elsevier
Galati, E B G, Hindrayanto, A I W, Koopman, S J & Vlekke, M 2016, ' Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area ', Economics Letters, vol. 145, pp. 83-87 . https://doi.org/10.1016/j.econlet.2016.05.034
Economics Letters, 145, 83-87. Elsevier
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970-2014. We find that financial cycles can parsimoniously be estimated by house prices an
Publikováno v:
Journal of Financial Econometrics, 16(3), 384-424. Oxford University Press
Barra, I, Borowska, A & Koopman, S J 2018, ' Bayesian Dynamic Modeling of High-Frequency Integer Price Changes ', Journal of Financial Econometrics, vol. 16, no. 3, pp. 384-424 . https://doi.org/10.1093/jjfinec/nby010
Barra, I, Borowska, A & Koopman, S J 2018, ' Bayesian dynamic modeling of high-frequency integer price changes ', Journal of Financial Econometrics, vol. 16, no. 3, pp. 384-424 . https://doi.org/10.1093/jjfinec/nby010
Barra, I, Borowska, A & Koopman, S J 2018, ' Bayesian Dynamic Modeling of High-Frequency Integer Price Changes ', Journal of Financial Econometrics, vol. 16, no. 3, pp. 384-424 . https://doi.org/10.1093/jjfinec/nby010
Barra, I, Borowska, A & Koopman, S J 2018, ' Bayesian dynamic modeling of high-frequency integer price changes ', Journal of Financial Econometrics, vol. 16, no. 3, pp. 384-424 . https://doi.org/10.1093/jjfinec/nby010
We investigate high-frequency volatility models for analyzing intradaily tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intradaily volatility patterns from high-frequency integer price cha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8be69eb131f6fff94a7a07f450d1fbb2
https://research.vu.nl/en/publications/12a2fa94-98e3-4fea-8d98-282abdf580f5
https://research.vu.nl/en/publications/12a2fa94-98e3-4fea-8d98-282abdf580f5
Publikováno v:
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, no. December, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
Journal of Empirical Finance, 29(December), 187-206. Elsevier
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
Journal of Empirical Finance, 29(December), 187-206. Elsevier
Janus, P, Koopman, S J & Lucas, A 2014, ' Long memory dynamics for multivariate dependence under heavy tails ', Journal of Empirical Finance, vol. 29, pp. 187-206 . https://doi.org/10.1016/j.jempfin.2014.09.007
This discussion paper led to a publication in the Journal of Empirical Finance , 2014, 29, 187-206. We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed den
Publikováno v:
Koopman, S J M, Lit, R & Lucas, A 2016, Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States . in M Billio, L Pelizzon & R Savona (eds), Systemic Risk Tomography : Signals, Measurement and Transmission Channels . Elsevier, pp. 151-168 .
We introduce a model-based rather than a pure filtering approach to estimate the financial cycle from a panel of economic and financial time series for four large developed economies. The possible existence and dynamics of a financial cycle have gain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::95b321303a37bad3cd051b96e205a294
https://doi.org/10.1016/b978-1-78548-085-0.50006-6
https://doi.org/10.1016/b978-1-78548-085-0.50006-6
Publikováno v:
SSRN Electronic Journal.
We consider a multivariate unobserved component time series model to disentangle the short-term and medium-term cycle for the G7 countries and the Netherlands using four key macroeconomic and financial time series. The novel aspect of our approach is
Autor:
Siem Jan Koopman, Marcel Scharth
Publikováno v:
Koopman, S J & Scharth, M 2013, ' The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures ', Journal of Financial Econometrics, vol. 11, no. 1, pp. 76-115 . https://doi.org/10.1093/jjfinec/nbs016
Koopman, S J & Scharth, M 2013, ' The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures ', Journal of Financial Econometrics, vol. 11, no. 1, pp. 76-115 . https://doi.org/10.1093/jjfinec/nbs016
Journal of Financial Econometrics, 11(1), 76-115. Oxford University Press
Koopman, S J & Scharth, M 2013, ' The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures ', Journal of Financial Econometrics, vol. 11, no. 1, pp. 76-115 . https://doi.org/10.1093/jjfinec/nbs016
Journal of Financial Econometrics, 11(1), 76-115. Oxford University Press
We develop a systematic framework for the joint modeling of returns and multiple daily realized measures. We assume a linear state space representation for the log realized measures, which are noisy and biased estimates of the log daily integrated va
Publikováno v:
SSRN Electronic Journal.
We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of
Publikováno v:
SSRN Electronic Journal.
The financial cycle captures systematic patterns in the financial system and is closely related to the concept of procyclicality of systemic risk. This paper investigates the characteristics of financial cycles using a multivariate model-based filter