1992 …2020

Research output per year

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Research Output

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Article
2020

Long-term forecasting of El Niño events via dynamic factor simulations

Li, M., Koopman, S. J., Lit, R. & Petrova, D., 2020, In : Journal of Econometrics. 214, 1, p. 46-66 21 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Multiyear statistical prediction of ENSO enhanced by the tropical Pacific observing system

Petrova, D., Ballester, J., Koopman, S. J. & Rodó, X., 1 Jan 2020, In : Journal of Climate. 33, 1, p. 163-174 12 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Nonlinear autoregressive models with optimality properties

Blasques, F., Koopman, S. J. & Lucas, A., 2 Jul 2020, In : Econometric Reviews. 39, 6, p. 559-578 20 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Partially censored posterior for robust and efficient risk evaluation

Borowska, A., Hoogerheide, L., Koopman, S. J. & van Dijk, H. K., 1 Jan 2020, (Accepted/In press) In : Journal of Econometrics. 217, 2, p. 335-355

Research output: Contribution to JournalArticleAcademicpeer-review

The dynamic factor network model with an application to international trade

Bräuning, F. & Koopman, S. J., Jun 2020, In : Journal of Econometrics. 216, 2, p. 494-515 22 p.

Research output: Contribution to JournalArticleAcademicpeer-review

2019

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376 18 p.

Research output: Contribution to JournalArticleAcademicpeer-review

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

Gorgi, P., Koopman, S. J. & Li, M., 2019, In : International Journal of Forecasting. 35, 4, p. 1735-1747 13 p.

Research output: Contribution to JournalArticleAcademicpeer-review

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

Koopman, S. J. & Lit, R., Apr 2019, In : International Journal of Forecasting. 35, 2, p. 797-809 13 p.

Research output: Contribution to JournalArticleAcademicpeer-review

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

Open Access

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. 15, p. 1-9 9 p., 100096.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

The analysis and forecasting of tennis matches by using a high dimensional dynamic model

Gorgi, P., Koopman, S. J. & Lit, R., 2019, In : Journal of the Royal Statistical Society. Series A: Statistics in Society. 182, 4, p. 1393-1409 17 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Trend analysis of the airborne fraction and sink rate of anthropogenically released CO2

Bennedsen, M., Hillebrand, E. & Jan Koopman, S., 26 Sep 2019, In : Biogeosciences. 16, 18, p. 3651-3663 13 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
2018

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

Dynamic discrete copula models for high-frequency stock price changes

Koopman, S. J., Lit, R., Lucas, A. & Opschoor, A., Nov 2018, In : Journal of Applied Econometrics. 33, 7, p. 966-985 20 p., 33.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

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
2017

Empirical Bayes Methods for Dynamic Factor Models

Koopman, S. J. & Mesters, G., 2017, In : Review of Economics and Statistics. 99, 3, p. 486-498 13 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Global Credit Risk: World, Country and Industry Factors

Schwaab, B., Koopman, S. J. & Lucas, A., 2017, In : Journal of Applied Econometrics. 32, 2, p. 296-317 22 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Improving the Long-Lead Predictability of El Nino Using a Novel Forecasting Scheme Based on a Dynamic Components Mode

Petrova, D., Koopman, S. J., Ballester, J. & Rodo, X., 2017, In : Climate Dynamics. 48, 3-4, p. 1249–1276 28 p.

Research output: Contribution to JournalArticleAcademicpeer-review

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

Koopman, S. J., Lit, R. & Lucas, A., 2017, In : Journal of the American Statistical Association. 112, 520, p. 1490-1503 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

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

Barra, I., Hoogerheide, L. F., Koopman, S. J. & Lucas, A., 2017, In : Journal of Applied Econometrics. 32, 5, p. 1003-1026 24 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Testing for parameter instability across different modeling frameworks

Calvori, F., Creal, D., Koopman, S. J. & Lucas, A., 2017, In : Journal of Financial Econometrics. 15, 2, p. 223-246 24 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, M., Blasques Albergaria Amaral, F., Koopman, S. J. & Lucas, A., 2017, In : Journal of Time Series Analysis. 38, 3, p. 458–478 21 p.

Research output: Contribution to JournalArticleAcademicpeer-review

2016

Forecasting and nowcasting economic growth in the euro area using factor models

Hindrayanto, A. I. W., Koopman, S. J. & de Winter, J., 2016, In : International Journal of Forecasting. 32, 4, p. 1284-1305

Research output: Contribution to JournalArticleAcademicpeer-review

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Blasques, F., Koopman, S. J., Lasak, K. A. & Lucas, A., 2016, In : International Journal of Forecasting. 32, 3, p. 875-887

Research output: Contribution to JournalArticleAcademicpeer-review

Intervention time series analysis of crime rates: The case of sentence reform in Virginia

Vujic, S., Commandeur, J. J. F. & Koopman, S. J., 2016, In : Economic Modelling. 57, p. 311-323

Research output: Contribution to JournalArticleAcademicpeer-review

Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

Galati, E. B. G., Hindrayanto, A. I. W., Koopman, S. J. & Vlekke, M., 2016, In : Economics Letters. 145, p. 83-87

Research output: Contribution to JournalArticleAcademicpeer-review

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

Mesters, G., Koopman, S. J. & Ooms, M., 2016, In : Econometric Reviews. 35, 4, p. 659-687

Research output: Contribution to JournalArticleAcademicpeer-review

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, S. J., Lucas, A. & Scharth, M., 2016, In : Review of Economics and Statistics. 98, 1, p. 97-110

Research output: Contribution to JournalArticleAcademicpeer-review

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2016, In : Journal of Econometrics. 195, 2, p. 211-223

Research output: Contribution to JournalArticleAcademicpeer-review

The Information in Systemic Risk Rankings

Nucera, F., Schwaab, B., Koopman, S. J. & Lucas, A., 2016, In : Journal of Empirical Finance. 38A, September, p. 461-475

Research output: Contribution to JournalArticleAcademicpeer-review

Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data

Blasques Albergaria Amaral, F., Koopman, S. J., Mallee, M. I. P. & Zhang, Z., 2016, In : Journal of Econometrics. 193, 2, p. 405-417

Research output: Contribution to JournalArticleAcademicpeer-review

2015

Information Theoretic Optimality of Observation Driven Time Series Models

Blasques, F., Koopman, S. J. & Lucas, A., 2015, In : Biometrika. 102, 2, p. 325-343

Research output: Contribution to JournalArticleAcademicpeer-review

Likelihood-based Dynamic Factor Analysis for Measurement and Forecasting

Jungbacker, B. M. J. P. & Koopman, S. J., 2015, In : Econometrics Journal. 18, 2, p. C1-C21

Research output: Contribution to JournalArticleAcademicpeer-review

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Koopman, S. J., Lucas, A. & Scharth, M., 2015, In : Journal of Business and Economic Statistics. 33, 1, p. 114-127

Research output: Contribution to JournalArticleAcademicpeer-review

2014

Forecasting Interest Rates with Shifting Endpoints

Dijk, D. V., Koopman, S. J., van der Wel, M. & Wright, J. H., 2014, In : Journal of Applied Econometrics. 29, 5, p. 693-712

Research output: Contribution to JournalArticleAcademicpeer-review

Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

Brauning, F. U. & Koopman, S. J., 2014, In : International Journal of Forecasting. 30, 3, p. 572-584

Research output: Contribution to JournalArticleAcademicpeer-review

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

Mesters, G. & Koopman, S. J., 2014, In : Journal of Econometrics. 180, 2, p. 127-140

Research output: Contribution to JournalArticleAcademicpeer-review

Long memory dynamics for multivariate dependence under heavy tails

Janus, P., Koopman, S. J. & Lucas, A., 2014, In : Journal of Empirical Finance. 29, December, p. 187-206

Research output: Contribution to JournalArticleAcademicpeer-review

Long memory with stochastic variance model: A resursive analysis for U.S. inflation

Bos, C. S., Koopman, S. J. & Ooms, M., 2014, In : Computational Statistics and Data Analysis. 76, August, p. 144-157

Research output: Contribution to JournalArticleAcademicpeer-review

Nowcasting and forecasting global financial sector stress and credit market dislocation

Koopman, S. J., Lucas, A. & Schwaab, B., 2014, In : International Journal of Forecasting. 30, 3, p. 741-758

Research output: Contribution to JournalArticleAcademicpeer-review

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, D. D., Schwaab, B., Koopman, S. J. & Lucas, A., 2014, In : Review of Economics and Statistics. 96, 5, p. 898-915

Research output: Contribution to JournalArticleAcademicpeer-review

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates

Jungbacker, B. M. J. P., Koopman, S. J. & van der Wel, M., 2014, In : Journal of Applied Econometrics. 29, 1, p. 65-90

Research output: Contribution to JournalArticleAcademicpeer-review

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2014, In : Electronic Journal of Statistics. 8, 1, p. 1088-1112

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
2013

Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model

Koopman, S. J. & van der Wel, M., 2013, In : International Journal of Forecasting. 29, 4, p. 676-694

Research output: Contribution to JournalArticleAcademicpeer-review

General Autoregressive Score Models with Applications

Creal, D. D., Koopman, S. J. & Lucas, A., 2013, In : Journal of Applied Econometrics. 28, 5, p. 777-795

Research output: Contribution to JournalArticleAcademicpeer-review

Modeling trigonometric seasonal components for monthly economic time series

Hindrayanto, A. I. W., Aston, J. A. D., Koopman, S. J. & Ooms, M., 2013, In : Applied Economics. 45, 21, p. 3024-3034

Research output: Contribution to JournalArticleAcademicpeer-review

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

Koopman, S. J. & Scharth, M., 2013, In : Journal of Financial Econometrics. 11, 1, p. 76-115

Research output: Contribution to JournalArticleAcademicpeer-review

2012

Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

Koopman, S. J., Lucas, A. & Schwaab, B., 2012, In : Journal of Business and Economic Statistics. 30, 4, p. 521-532

Research output: Contribution to JournalArticleAcademicpeer-review