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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 2019

Forecasting economic time series using score-driven dynamic models with mixed-data sampling

Gorgi, P., Koopman, S. J. & Li, M., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Economic forecasting
Sampling
Weighting
GDP growth
Inflation

Forecasting football match results in national league competitions using score-driven time series models

Koopman, S. J. & Lit, R., 1 Jan 2019, (Accepted/In press) In : International Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Football
Time series models
Model specification
Betting
Simulation

Modified efficient importance sampling for partially non-Gaussian state space models

Koopman, S. J., Lit, R. & Nguyen, T. M., 1 Feb 2019, In : Statistica Neerlandica. 73, 1, p. 44-62 19 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Importance Sampling
State-space Model
Kernel Density
Signal Extraction
Filter Method

Sensitivity of large dengue epidemics in Ecuador to long-lead predictions of El Niño

Petrova, D., Lowe, R., Stewart-Ibarra, A., Ballester, J., Koopman, S. J. & Rodó, X., 1 Mar 2019, (Accepted/In press) In : Climate Services. p. 1-9 9 p.

Research output: Contribution to JournalArticleAcademicpeer-review

El Nino
prediction
dengue fever
teleconnection
tropical region

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

Activities 2002 2016

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

Society of Financial Econometrics (External organisation)

S.J. Koopman (Member)
20162017

Activity: MembershipAcademic

Aarhus University, Denmark (External organisation)

S.J. Koopman (Member)
20162017

Activity: MembershipAcademic

NYU Stern (External organisation)

S.J. Koopman (Member)
2015

Activity: MembershipAcademic

Journal of Business and Economic Statistics (Journal)

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

Activity: Peer review and Editorial workEditorial workAcademic

A Regional Decomposition of the World Economy: A Likelihood Based

S.J. Koopman (Speaker), S. Grassi (Speaker)
30 May 2013

Activity: Lecture / PresentationAcademic