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296 research outputs found

Time Series Modelling of Daily Tax Revenues

Author: Koopman S.J.
Ooms M.
Publication venue: Amsterdam
Publication date: 01/01/2001
Field of study

VU Research Portal

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Author: Koopman S.J.
Lucas A.
Publication venue: Amsterdam
Publication date: 01/01/2010
Field of study

Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

Author: Koopman S.J.
Mesters G.
Publication venue: Amsterdam
Publication date: 01/01/2012
Field of study

VU Research Portal

Models with time-varying mean and variance: A robust analysis of US industrial production

Author: Bos C.S.
Koopman S.J.
Publication venue: Amsterdam
Publication date: 01/01/2010
Field of study

VU Research Portal

Model-based measurement of actual volatility in high-frequency data

Author: Jungbacker B.M.J.P.
Koopman S.J.
Publication venue: Amsterdam
Publication date: 01/01/2005
Field of study

high-frequency dat

VU Research Portal

Time series models with a common stochastic variance for analysing economic time series

Author: Bos C.S.
Koopman S.J.
Publication venue: Amsterdam
Publication date: 01/01/2002
Field of study

VU Research Portal

Business and Default Cycles for Credit Risk

Author: Koopman S.J.
Lucas A.
Publication venue: Amsterdam
Publication date: 01/01/2003
Field of study

VU Research Portal

On importance sampling for state space models

Author: Jungbacker B.M.J.P.
Koopman S.J.
Publication venue: Amsterdam
Publication date: 01/01/2005
Field of study

VU Research Portal

Measuring asymmetric stochastic cycle components in U.S. macroeconomic time series

Author: Koopman S.J.
Lee K.M.
Publication venue: Amsterdam
Publication date: 01/01/2005
Field of study

VU Research Portal

Likelihood-based Analysis for Dynamic Factor Models

Author: Jungbacker B.M.J.P.
Koopman S.J.
Publication venue: Amsterdam
Publication date: 01/01/2008
Field of study

VU Research Portal

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