Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Winter, J D, Koopman, S J & Hindrayanto, I 2022, ' Joint Decomposition of Business and Financial Cycles : Evidence from Eight Advanced Economies* ', Oxford Bulletin of Economics and Statistics, vol. 84, no. 1, pp. 57-79 . https://doi.org/10.1111/obes.12459
Oxford Bulletin of Economics and Statistics, 84(1), 57-79. Wiley-Blackwell
Oxford Bulletin of Economics and Statistics, 84(1), 57-79. Wiley-Blackwell
We discuss a model-based simultaneous decomposition of multiple time series in short-term and medium-term cyclical dynamics. We associate short-term dynamic features with the business cycle and medium-term dynamic features with the financial cycle. F
Estimation of final standings in football competitions with a premature ending: the case of COVID-19
Publikováno v:
Advances in Statistical Analysis
AStA Advances in Statistical Analysis. Springer Verlag
AStA Advances in Statistical Analysis. Springer Verlag
We study an alternative approach to determine the final league table in football competitions with a premature ending. For several countries, a premature ending of the 2019/2020 football season has occurred due to the COVID-19 pandemic. We propose a
Autor:
Mengheng Li, Siem Jan Koopman
Publikováno v:
Li, M & Koopman, S J 2021, ' Unobserved components with stochastic volatility : Simulation-based estimation and signal extraction ', Journal of Applied Econometrics, vol. 36, no. 5, pp. 614-627 . https://doi.org/10.1002/jae.2831
Journal of Applied Econometrics, 36(5), 614-627. John Wiley and Sons Ltd
Journal of Applied Econometrics, 36(5), 614-627. John Wiley and Sons Ltd
© 2021 The Authors. Journal of Applied Econometrics Published by John Wiley & Sons, Ltd.The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and fore
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f97a6cd6c5484a33689312adc36f7b12
https://research.vu.nl/en/publications/ae5f4ec6-d235-4926-a416-2185e808eed7
https://research.vu.nl/en/publications/ae5f4ec6-d235-4926-a416-2185e808eed7
Publikováno v:
Gorgi, P, Koopman, S J & Lit, R 2019, ' The analysis and forecasting of tennis matches by using a high dimensional dynamic model ', Journal of the Royal Statistical Society. Series A: Statistics in Society, vol. 182, no. 4, pp. 1393-1409 . https://doi.org/10.1111/rssa.12464
Journal of the Royal Statistical Society. Series A: Statistics in Society, 182(4), 1393-1409. Wiley-Blackwell
Journal of the Royal Statistical Society. Series A: Statistics in Society, 182(4), 1393-1409. Wiley-Blackwell
Summary We propose a high dimensional dynamic model for tennis match results with time varying player-specific abilities for different court surface types. Our statistical model can be treated in a likelihood-based analysis and can handle high dimens
Publikováno v:
Journal of Applied Econometrics. 32:1003-1026
Summary We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when th
Publikováno v:
Koopman, S J, Lit, R, Lucas, A & Opschoor, A 2018, ' Dynamic discrete copula models for high-frequency stock price changes ', Journal of Applied Econometrics, vol. 33, no. 7, pp. 966-985 . https://doi.org/10.1002/jae.2645
Koopman, S J, Lit, R, Lucas, A & Opschoor, A 2018, ' Dynamic discrete copula models for high-frequency stock price changes ', Journal of Applied Econometrics, vol. 33, no. 7, 33, pp. 966-985 . https://doi.org/10.1002/jae.2645
Journal of Applied Econometrics, 33(7):33, 966-985. John Wiley and Sons Ltd
Koopman, S J, Lit, R, Lucas, A & Opschoor, A 2018, ' Dynamic discrete copula models for high-frequency stock price changes ', Journal of Applied Econometrics, vol. 33, no. 7, 33, pp. 966-985 . https://doi.org/10.1002/jae.2645
Journal of Applied Econometrics, 33(7):33, 966-985. John Wiley and Sons Ltd
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has time-varying parameters that are driven by the score of the predictive likel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b72d13e893c5ab6afe9b70dd7e681fa8
https://pure.au.dk/ws/files/179342687/Dynamic_discrete_copula_models_for_high_frequency_stock_price_changes_VOR18.pdf
https://pure.au.dk/ws/files/179342687/Dynamic_discrete_copula_models_for_high_frequency_stock_price_changes_VOR18.pdf
Autor:
Geert Mesters, Siem Jan Koopman
Publikováno v:
Koopman, S J & Mesters, G 2017, ' Empirical Bayes Methods for Dynamic Factor Models ', Review of Economics and Statistics, vol. 99, no. 3, pp. 486-498 . https://doi.org/10.1162/REST_a_00614
Review of Economics and Statistics, 99(3), 486-498. MIT Press Journals
Koopman, S J M & Mesters, G 2017, ' Empirical Bayes Methods for Dynamic Factor Models ', The Review of Economics and Statistics, vol. 99, no. 3, pp. 486-498 . https://doi.org/10.1162/REST_a_00614
Review of Economics and Statistics, 99(3), 486-498. MIT Press Journals
Koopman, S J M & Mesters, G 2017, ' Empirical Bayes Methods for Dynamic Factor Models ', The Review of Economics and Statistics, vol. 99, no. 3, pp. 486-498 . https://doi.org/10.1162/REST_a_00614
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loading
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::414e440db30a84cc24b534fd40596d40
https://hdl.handle.net/1871.1/9a7eb1d0-82b8-4a20-9156-84930b6c9e2b
https://hdl.handle.net/1871.1/9a7eb1d0-82b8-4a20-9156-84930b6c9e2b
Publikováno v:
Journal of Applied Econometrics, 32(2), 296-317. John Wiley and Sons Ltd
Schwaab, B, Koopman, S J & Lucas, A 2017, ' Global Credit Risk: World, Country and Industry Factors ', Journal of Applied Econometrics, vol. 32, no. 2, pp. 296-317 . https://doi.org/10.1002/jae.2521
Schwaab, B, Koopman, S J M & Lucas, A 2017, ' Global Credit Risk : World, Country and Industry Factors ', Journal of Applied Econometrics, vol. 32, no. 2, pp. 296–317 . https://doi.org/10.1002/jae.2521
Schwaab, B, Koopman, S J & Lucas, A 2017, ' Global Credit Risk: World, Country and Industry Factors ', Journal of Applied Econometrics, vol. 32, no. 2, pp. 296-317 . https://doi.org/10.1002/jae.2521
Schwaab, B, Koopman, S J M & Lucas, A 2017, ' Global Credit Risk : World, Country and Industry Factors ', Journal of Applied Econometrics, vol. 32, no. 2, pp. 296–317 . https://doi.org/10.1002/jae.2521
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8dff162d3ab19b594bfa3874ca839f7d
https://research.vu.nl/en/publications/8074a956-2e00-4ffe-aa50-fd66380a4d47
https://research.vu.nl/en/publications/8074a956-2e00-4ffe-aa50-fd66380a4d47
Publikováno v:
Review of Economics and Statistics, 96(5), 898-915. MIT Press Journals
Creal, D, Schwaab, B, Koopman, S J & André, L 2014, ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2014, ' Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D, Schwaab, B, Koopman, S J & André, L 2014, ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2014, ' Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of famil
Publikováno v:
Journal of Applied Econometrics. 29:693-712
textabstractMany economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat