1992 …2020

Research output per year

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Research Output

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Chapter
2016

Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S., Chapter 6

Koopman, S. J., Lit, R. & Lucas, A., 2016, Systemic Risk Tomography: Signals, Measurement and Transmission Channels. Billio, M., Pelizzon, L. & Savona, R. (eds.). London: ISTE-Elsevier

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2015

Durbin, James [Jim] (1923-2012)

Koopman, S. J., 2015, Oxford Dictionary of National Biography. Oxford: Oxford University press

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

Forecasting the Boat Race

Mesters, G. & Koopman, S. J., 2015, Unobserved Components and Time Series Econometrics (Festschrift Andrew C. Harvey). Koopman, S. J. & Shephard, N. (eds.). Oxfort: Oxford University press

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

Time Series: State Space Methods

Koopman, S. J. & Commandeur, J. J. F., 26 Mar 2015, International Encyclopedia of the Social & Behavioral Sciences: Second Edition. Elsevier Inc., p. 354-361 8 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

Time Series: State Space Models

Koopman, S. J. & Commandeur, J. J. F., 2015, International Encyclopedia of the Social & Behavorial Sciences (Second Edition). Wright, J. D. & Land, K. (eds.). New York: Elsevier

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2014

Analysis of historical time series with messy features: the case of commodity prices in Babylonia

Koopman, S. J. & Hoogerheide, L. F., 2014, A History of Market Performance: From Ancient Babylonia to the Modern World. van der Spek, R. J., Luiten van Zanden, J. & van Leeuwen, B. (eds.). New York: Routledge, p. 45-67 592 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2012

A multivariate periodic unobserved components time series analysis for sectoral U.S. employment

Hindrayanto, A. I. W., Koopman, S. J. & Ooms, M., 2012, Economic Time Series: Modeling and Seasonality. Bell, W. R., Holan, S. H. & McElroy, T. S. (eds.). London: Chapman and Hall/CRC Press, p. 3-35

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2011

Forecasting economic time series using unobserved components time series models

Koopman, S. J. & Ooms, M., 2011, Oxford Handbook on Economic Forecasting. Clements, M. P. & Hendry, D. F. (eds.). Oxford: Oxford University press, p. 5

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2010

Common business and housing market cyles in the euro area from a multivariate decomposition

Ferrara, L. & Koopman, S. J., 1 Dec 2010, Housing Markets in Europe: A Macroeconomic Perspective. Springer Berlin / Heidelberg, p. 105-128 24 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

State space methods for latent trajectory and parameter estimation by maximum likelihood methods

Commandeur, J. J. F., Koopman, S. J. & van Montfort, C. A. G. M., 2010, Longitudinal research with latent variables. van Montfort, K., Oud, J. H. L. & Satorra, A. (eds.). Heidelberg: Springer Verlag, p. 177-200

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2009

Simulation-based estimation methods for the stochastic volatility model

Koopman, S. J. & Jungbacker, B. M. J. P., 2009, Handbook of financial time series. Anderson, T., Davis, R. A., Kreiss, J. P. & Mikosch, T. (eds.). New York: Springer-Verlag, p. 313-344

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2005

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

Koopman, S. J. & Jungbacker, B. M. J. P., 2005, Advances in econometrics, Volume 20. Fomby, T. B. & Terrell, D. (eds.). Oxford: Elsevier Science Ltd., 27 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

Trend-cycle decomposition models with smooth-transition parameters: evidence from US economc time series

Koopman, S. J., Lee, K. M. & Wong, S. Y., 2005, Nonlinear time series analysis of bussiness cycles. van Dijk, D., Milas, C. & Rothman, P. A. (eds.). Amsterdam: Elsevier

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2004

State Space Modeling in Macroeconomics and Finance Using SsfPack in S+FinMetrics

Koopman, S. J., Zivot, E. & Wang, J., 2004, State Space and Unobserved Component Models: Theory and Applications. Harvey, A. C., Koopman, S. J. & Shepherd, N. (eds.). Cambridge, UK: Cambridge University Press, 52 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

State space modelling in macroeconomics and finance using SsfPack in S+Finmetrics

Zivot, E., Wang, J. & Jan Koopman, S., 1 Jan 2004, State Space and Unobserved Component Models: Theory and Applications. Cambridge University Press, p. 284-335 52 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

2002

State Space Modeling

Zivot, E., Wang, J. & Koopman, S. J., 2002, Modeling Financial Time Series with S-PLUS. Zivot, E. & Wang, J. (eds.). Seattle (USA): Springer

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

2001

State Space Methods

Koopman, S. J., 2001, The Encyclopedia of Environmetrics. El-Shaarawi, A. H. & Piegorsch, W. W. (eds.). Chicester: Wiley and sons

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic