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Personal profile

Personal information

Siem Jan Koopman is Professor of Econometrics at the Department of Econometrics, Vrije Universiteit Amsterdam. He is also a research fellow at Tinbergen Institute and a long-term Visiting Professor at CREATES, University of Aarhus. Furthermore, he is a Journal of Applied Econometrics Distinguished Author, and Fellow of the Society of Financial Econometrics (SoFiE).

He held positions at London School of Economics and CentER (Tilburg University), and had long-term visits at US Bureau of the Census, European University Institute, and European Central Bank, Financial Research.

The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001, the Second Edition in 2012. The book An Introduction to State Space Time Series Analysis appeared in 2007 and is written by J.J.F. Commandeur and SJK. His other books (co-authored, software and editorial) are listed here.

He is a Statistical Software Developer: STAMP, SsfPack.

Research

The research interests of SJK cover topics in time series econometrics, financial econometrics, forecasting and simulation-based estimation. His current research focusses on score-driven time-varying parameter models (GAS models), state space models and dynamic factor models. He fullfills editorial duties at Journal of Business and Economic Statistics, Journal of Applied Econometrics, and Journal of Forecasting. Finally, SJK is an OxMetrics software developer for STAMP and SsfPack.

For more information see: http://sjkoopman.net/

Teaching

Time Series Econometrics -- VU Amsterdam, MSc Econometrics

Advanced Econometrics III -- Tinbergen Institute, MPhil

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

Education/Academic qualification

PhD, The London School of Economics and Political Science

1 Sep 198930 Mar 1992

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Research Output 1996 2018

A Time-Varying Parameter Model for Local Explosions

Blasques Albergaria Amaral, F., Koopman, S. J. & Nientker, M. H. C., 2018, Amsterdam: Tinbergen Institute, 39 p.(TI Discussion Paper Series; vol. 18-088/III)

Research output: Working paperAcademic

Bayesian dynamic modeling of high-frequency integer price changes

Barra, I., Borowska, A. & Koopman, S. J., 1 Jun 2018, In : Journal of Financial Econometrics. 16, 3, p. 384-424 41 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Price changes
Dynamic modeling
Ticks
Integer
Modeling

Dynamic discrete copula models for high-frequency stock price changes

Koopman, S. J., Lit, R., Lucas, A. & Opschoor, A., 1 Dec 2018, In : Journal of Applied Econometrics. 33, 7, p. 966-985 33

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
bank
simulation
Price changes
Copula
Stock prices

Essays on time series models with unobserved components and their applications

Li, M., 2018, 182 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

Feasible invertibility conditions and maximum likelihood estimation for observation-driven models

Blasques, F., Gorgi, P., Koopman, S. J. & Wintenberger, O., Mar 2018, In : Electronic Journal of Statistics. 12, 1, p. 1019-1052 34 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Invertibility
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model

Activities 2002 2016

  • 49 Lecture / Presentation
  • 14 PhD thesis examination
  • 13 Editorial work
  • 9 Membership

Society of Financial Econometrics (External organisation)

Koopman, S. J. (Member)
20162017

Activity: MembershipAcademic

Aarhus University, Denmark (External organisation)

Koopman, S. J. (Member)
20162017

Activity: MembershipAcademic

NYU Stern (External organisation)

Koopman, S. J. (Member)
2015

Activity: MembershipAcademic

Journal of Business and Economic Statistics (Journal)

Koopman, S. J. (Member of editorial board)
20152016

Activity: Peer review and Editorial workEditorial workAcademic

Dynamic factor models with stochastic loadings

Koopman, S. J. (Speaker), Mesters, G. (Speaker)
24 May 2013

Activity: Lecture / PresentationAcademic

Prizes

Research grant from the National Bank of Poland (10K Euro) to develop models for the forecasting of interest rates

S.J. Koopman (Recipient), A. Lucas (Recipient) & M.J. Zamojski (Recipient), 2015

Prize: Prize / AwardAcademic

Systemic Risk Tomography

A. Lucas (Recipient), S.J. Koopman (Recipient) & A.H. Siegmann (Recipient), 2013

Prize: Prize / AwardAcademic

Organized Financing
Tomography
Research

VILLUM Visiting Professor Programme Grant (60K euro) 2016-2017

S.J. Koopman (Recipient), 2016

Prize: Prize / AwardAcademic