• De Boelelaan 1077a

    1081 HV Amsterdam

    Netherlands

Research Output 1991 2019

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Working paper

The impact of linkage errors and erroneous captures on the population size estimator due to implied coverage. Discussion paper 2017-16

Gerritse, S. C., Bakker, B. F. M. & van der Heijden, P. G. M., 27 Sep 2017, Den Haag / Heerlen: Statistics Netherlands.

Research output: Working paperAcademic

2016

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

Barra, I. & Koopman, S. J., 2016, Amsterdam: Tinbergen Institute, 52 p. (TI Discussion Paper; no. 16-028/III).

Research output: Working paperProfessional

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2016, Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper; no. 16-082/III).

Research output: Working paperProfessional

Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

Koopman, S. J., Lit, R. & Lucas, A., 2016, Amsterdam: Tinbergen Institute, 19 p. (TI Discussion Series; no. 16-051/IV).

Research output: Working paperProfessional

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Hansen, R. R., Janus, P. & Koopman, S. J., 2016, Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Series; no. 16-061/III).

Research output: Working paperProfessional

The Dynamic Factor Network Model with an Application to Global Credit-Risk

Brauning, F. U. & Koopman, S. J., 2016, Amsterdam: Tinbergen Institute, 47 p. (TI Discussion Papers; no. 105/III).

Research output: Working paperProfessional

2015

A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"

Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2015, Amsterdam: Tinbergen Institute, 10 p. (TI Discussion Paper; no. 15-131/III).

Research output: Working paperProfessional

Generalized Autoregressive Method of Moments

Creal, D. D., Koopman, S. J., Lucas, A. & Zamojski, M. J., 2015, Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper; no. 15-138/III).

Research output: Working paperProfessional

Global Credit Risk: World, Country and Industry Factors

Schwaab, B., Koopman, S. J. & Lucas, A., 2015, Amsterdam: Tinbergen Institute/Duisenberg School of Finance, 43 p. (TI Discussion Paper; no. 15-029/III/DSF87).

Research output: Working paperProfessional

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Koopman, S. J., Lit, R. & Lucas, A., 2015, Amsterdam: Tinbergen Institute, 38 p. (TI Discussion Paper; no. 15-076/IV/DSF94).

Research output: Working paperProfessional

Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

Koopman, S. J., Lit, R. & Lucas, A., 2015, Amsterdam: Tinbergen Institute/Duisenberg School of Finance, 40 p. (TI Discussion Paper; no. 15-037/III/DSF90).

Research output: Working paperProfessional

The Information in Systemic Risk Rankings

Nucera, F., Schwaab, B., Koopman, S. J. & Lucas, A., 2015, Amsterdam: Tinbergen Institute, 24 p. (TI Discussion Paper; no. 15-070/III/DSF94).

Research output: Working paperProfessional

2014

Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males

Mesters, G., van der Geest, V. R. & Bijleveld, C. C. J. H., 2014, Amsterdam: Tinbergen Institute, 35 p. (TI Discussion Paper; no. 14-091/III).

Research output: Working paperProfessional

Empirical Bayes Methods for Dynamic Factor Models

Koopman, S. J. & Mesters, G., 2014, Amsterdam: Tinbergen Institute, 45 p. (TI Discussion Paper; no. 14-061/III).

Research output: Working paperProfessional

Information Theoretic Optimality of Observation Driven Time Series Models

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Paper; no. 14-046/III).

Research output: Working paperProfessional

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, I., Hoogerheide, L. F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper; no. 14-118/III).

Research output: Working paperProfessional

Netherlands
finance
school

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, F., Koopman, S. J. & Mallee, M. I. P., 2014, Amsterdam: Tinbergen Institute, 51 p. (TI Discussion Paper; no. 14-105/III).

Research output: Working paperProfessional

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 67 p. (TI Discussion Paper; no. 14-029/III).

Research output: Working paperProfessional

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

Hindrayanto, A. I. W., Koopman, S. J. & de Winter, J., 2014, Amsterdam: Tinbergen Institute, 29 p. (TI Discussion Paper; no. 14-113/III).

Research output: Working paperProfessional

Optimal Formulations for Nonlinear Autoregressive Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 54 p. (TI Discussion Paper; no. 14-103/III).

Research output: Working paperProfessional

Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2014, Amsterdam: Tinbergen Institute, 48 p. (TI Discussion Paper; no. 14-107/III).

Research output: Working paperProfessional

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

Commandeur, J. J. F., Vujic, S., Koopman, S. J. & Kasprzyk-Hordern, B., 2014, Amsterdam: Tinbergen Institute, 23 p. (TI Discussion Paper; no. 14-135/III).

Research output: Working paperProfessional

Testing for Parameter Instability in Competing Modeling Frameworks

Calvori, F., Creal, D. D., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 42 p. (TI Discussion Paper; no. 14-010/IV/71).

Research output: Working paperProfessional

The Dynamic Skellam Model with Applications

Koopman, S. J., Lit, R. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 32 p. (TI Discussion Paper; no. 14-032/IV/DSF73).

Research output: Working paperProfessional

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, M., Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 26 p. (TI Discussion Paper; no. 14-072/III).

Research output: Working paperProfessional

2013

Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models

Barra, I., Hoogerheide, L. F., Koopman, S. J. & Lucas, A., 2013, Amsterdam: Tinbergen Institute, 35 p. (TI Dicsussion Paper; no. 13-050/III).

Research output: Working paperProfessional

2012

A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League

Koopman, S. J. & Lit, R., 2012, Amsterdam: Tinbergen Institute, 32 p. (TI Discussion Papers; no. 12-099/III).

Research output: Working paperProfessional

File

A Forty Year Assessment of Forecasting the Boat Race

Mesters, G. & Koopman, S. J., 2012, Amsterdam: Tinbergen Institute, 27 p. (TI Discussion Papers; no. 12-110/III).

Research output: Working paperProfessional

File

Fast Efficient Importance Sampling by State Space Methods

Koopman, S. J. & Nguyen, T. M., 2012, Amsterdam: Tinbergen Institute, 19 p. (TI Discussion Papers; no. 12-008/4).

Research output: Working paperProfessional

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Forecasting Interest Rates with Shifting Endpoints

van Dijk, D., Koopman, S. J., van der Wel, M. & Wright, J. H., 2012, Amsterdam: Tinbergen Institute, 35 p. (TI Discussion Paper; no. 12-076/4).

Research output: Working paperProfessional

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Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

Brauning, F. U. & Koopman, S. J., 2012, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Paper; no. 12-042/4).

Research output: Working paperProfessional

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

Mesters, G. & Koopman, S. J., 2012, Amsterdam: Tinbergen Institute, 54 p. (TI Discussion Papers; no. 12-009/4).

Research output: Working paperProfessional

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

Koopman, S. J., Lucas, A. & Scharth, M., 2012, Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Papers; no. 12-020/4).

Research output: Working paperProfessional

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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2012, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Papers; no. 12-059/4).

Research output: Working paperProfessional

File

Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia

Vujic, S., Commandeur, J. J. F. & Koopman, S. J., 2012, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Papers; no. 12-007/4).

Research output: Working paperProfessional

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2011

Long Memory Dynamics for Multivariate Dependence under Heavy Tails

Janus, P., Koopman, S. J. & Lucas, A., 2011, Amsterdam: Tinbergen Institute/Duisenberg School of Finance, 43 p. (TI Discussion Papers; no. 11-175/2/DSF28).

Research output: Working paperProfessional

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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Zhang, X., Creal, D. D., Koopman, S. J. & Lucas, A., 2011, Amsterdam: Duisenberg School of Finance, 34 p. (DSF/TI Discussion Paper; no. 11-078/2/DSF22).

Research output: Working paperProfessional

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, G., Koopman, S. J. & Ooms, M., 2011, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Papers; no. 11-090/4).

Research output: Working paperProfessional

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The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

Koopman, S. J. & Scharth, M., 2011, Amsterdam: Tinbergen Institute, 45 p. (TI Discusion Papers; no. 11-132/4).

Research output: Working paperProfessional

Open Access
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2010

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

Creal, D. D., Koopman, S. J. & Lucas, A., 2010, Amsterdam: Tinbergen Instituut (TI), 32 p. (TI Discussion Papers Series; no. 10-032/2).

Research output: Working paperProfessional

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Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective

Koopman, S. J., Lucas, A. & Schwaab, B., 2010, Amsterdam: Tinbergen Instituut (TI), 40 p. (TI Discussion Papers Series; no. 10-004/2).

Research output: Working paperProfessional

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

Bos, C. S. & Koopman, S. J., 2010, Amsterdam: Tinbergen Instituut (TI), 22 p. (TI Discussion Papers Series; no. 10-017/4).

Research output: Working paperProfessional

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Systematic risk diagnostics

Schwaab, B., Lucas, A. & Koopman, S. J., 2010, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Papers Series; no. 10-104/DSF 2).

Research output: Working paperProfessional

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