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Siem Jan Koopman
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Time series analysis by state space methods
J Durbin, SJ Koopman
OUP Oxford, 2012
54232012
STAMP 6.0: Structural time series analyser, modeller and predictor
SJ Koopman, AC Harvey, JA Doornik, N Shephard
London: Timberlake Consultants, 2000
10552000
Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
10452013
A simple and efficient simulation smoother for state space time series analysis
J Durbin, SJ Koopman
Biometrika 89 (3), 603-616, 2002
8712002
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
SJ Koopman, B Jungbacker, E Hol
Journal of Empirical Finance 12 (3), 445-475, 2005
7712005
Statistical algorithms for models in state space using SsfPack 2.2
SJ Koopman, N Shephard, JA Doornik
The Econometrics Journal 2 (1), 107-160, 1999
6901999
Monte Carlo maximum likelihood estimation for non-Gaussian state space models
J Durbin, SJ Koopman
Biometrika 84 (3), 669-684, 1997
6041997
An introduction to state space time series analysis
JJF Commandeur, SJ Koopman
Oxford University Press, USA, 2007
5912007
Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
J Durbin, SJ Koopman
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2000
5122000
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
G Sandmann, SJ Koopman
Journal of Econometrics 87 (2), 271-301, 1998
4911998
10 Structural time series models
AC Harvey, N Shephard
Elsevier 11, 261-302, 1993
3691993
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
D Creal, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 29 (4), 552-563, 2011
3562011
Forecasting hourly electricity demand using time-varying splines
A Harvey, SJ Koopman
Journal of the American Statistical Association 88 (424), 1228-1236, 1993
3381993
Diagnostic checking of unobserved-components time series models
AC Harvey, SJ Koopman
Journal of Business & Economic Statistics 10 (4), 377-389, 1992
3371992
Periodic seasonal Reg-ARFIMA–GARCH models for daily electricity spot prices
SJ Koopman, M Ooms, MA Carnero
Journal of the American Statistical Association 102 (477), 16-27, 2007
3362007
Exact initial Kalman filtering and smoothing for nonstationary time series models
SJ Koopman
Journal of the American Statistical Association 92 (440), 1630-1638, 1997
3281997
Disturbance smoother for state space models
SJ Koopman
Biometrika 80 (1), 117-126, 1993
3031993
The stochastic volatility in mean model: empirical evidence from international stock markets
SJ Koopman, E Hol Uspensky
Journal of applied Econometrics 17 (6), 667-689, 2002
2722002
Fast filtering and smoothing for multivariate state space models
SJ Koopman, J Durbin
Journal of time series analysis 21 (3), 281-296, 2000
2372000
Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters
SJ Koopman, MIP Mallee, M Van der Wel
Journal of Business & Economic Statistics 28 (3), 329-343, 2010
2362010
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