This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Siem Jan Koopman

Personal Details | Affiliation | Works
This is information that was supplied by Siem Koopman in registering through RePEc. If you are Siem Jan Koopman , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Siem
Middle Name: Jan
Last Name: Koopman
Suffix:

RePEc Short-ID: pko46

Email:
Homepage: http://staff.feweb.vu.nl/koopman
Postal Address: Department of Econometrics, Free University Amsterdam, De Boelelaan 1105, NL-1081 HV Amsterdam, The Netherlands
Phone: +31 20 598 6019

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Journal Pages
  4. Number of Abstract Views in RePEc Services over the past 12 months
  5. Number of Downloads through RePEc Services over the past 12 months
  6. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  7. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute. [Downloadable!]

  2. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]

  3. Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008. "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers 08-040/4, Tinbergen Institute. [Downloadable!]

  4. Siem Jan Koopman & Kai Ming Lee, 2008. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute. [Downloadable!]

  5. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute. [Downloadable!]

  6. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute. [Downloadable!]
    Published as:

  7. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007. "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers 07-095/4, Tinbergen Institute. [Downloadable!]

  8. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  9. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute. [Downloadable!]

  10. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute. [Downloadable!]
    Other versions:

  11. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute. [Downloadable!]

  12. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005. "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers 05-118/4, Tinbergen Institute. [Downloadable!]
    Published as:

  13. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005. [Downloadable!]
    Published as:

  14. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute. [Downloadable!]

  15. Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute. [Downloadable!]

  16. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  17. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute. [Downloadable!]

  18. Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute. [Downloadable!]
    Published as:

  19. Siem Jan Koopman & Marius Ooms, 2004. "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers 04-135/4, Tinbergen Institute. [Downloadable!]
    Published as:

  20. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute. [Downloadable!]
    Other versions:
    Published as:

  21. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003. [Downloadable!]

  22. Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman, 2003. "Intervention Time Series Analysis of Crime Rates," Tinbergen Institute Discussion Papers 03-040/4, Tinbergen Institute. [Downloadable!]

  23. Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Tinbergen Institute Discussion Papers 03-069/4, Tinbergen Institute. [Downloadable!]

  24. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute. [Downloadable!]

  25. Siem Jan Koopman & André Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003. [Downloadable!]
    Published as:

  26. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute. [Downloadable!]

  27. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  28. Siem Jan Koopman & Neil Shephard, 2002. "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  29. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute. [Downloadable!]

  30. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute. [Downloadable!]

  31. Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute. [Downloadable!]

  32. S.J. Koopman & P.H.B.F. Franses, 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Report 210, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  33. J. Durbin and S.J. Koopman, 2001. "An efficient and simple simulation smoother for state space time series analysis," Computing in Economics and Finance 2001 52, Society for Computational Economics.

  34. Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute. [Downloadable!]
    Other versions:
    Published as:

  35. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute. [Downloadable!]

  36. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute. [Downloadable!]

  37. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society. [Downloadable!]
    Published as:

  38. Harvey, A. & Koopman, S.J., 1999. "Signal extraction and the formulation of unobserved components models," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  39. Siem Jan Koopman, 1999. "Fast Estimation of Parameters in State Space Models," Computing in Economics and Finance 1999 311, Society for Computational Economics.

  40. Koopman, S.J. & Durbin, J., 1998. "Fast filtering and smoothing for multivariate state space models," Discussion Paper 18, Tilburg University, Center for Economic Research. [Downloadable!]

  41. Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  42. Durbin, J. & Koopman, S.J., 1998. "Time series analysis of non-gaussian observations based on state space models from both classical and bayesian perspectives," Discussion Paper 142, Tilburg University, Center for Economic Research. [Downloadable!]
    Published as:

  43. Andrew C Harvey & Siem Jan Koopman & J Penzer, 1997. "Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.)," STICERD - Econometrics Paper Series /1997/327, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

  44. F.A.G. den Butter & S.J. Koopman, 1997. "Interaction between Supply and Demand Shocks in Production and Employment," Tinbergen Institute Discussion Papers 97-052/3, Tinbergen Institute. [Downloadable!]

  45. G Sandmann & Siem Jan Koopman, 1996. "Maximum Likelihood Estimation of Stochastic Volatility Models," FMG Discussion Papers dp248, Financial Markets Group. [Downloadable!] (restricted)

  46. Butter, Frank A.G. den & Koopman, S.J., 1996. "Interaction between supply and demand in production and employment," Serie Research Memoranda 0025, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

Articles

  1. Siem Jan Koopman & João Valle E Azevedo, 2008. "Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(1), pages 23-51, 02. [Downloadable!] (restricted)

  2. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008. "Model-based measurement of latent risk in time series with applications," Journal Of The Royal Statistical Society Series A, Royal Statistical Society, vol. 127(1), pages 265-277. [Downloadable!] (restricted)
    Other versions:

  3. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 127(1), pages 399-424, January. [Downloadable!] (restricted)
    Other versions:

  4. Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor van der Geest, 2008. "Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130. [Downloadable!] (restricted)
    Other versions:

  5. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March. [Downloadable!] (restricted)
    Other versions:

  6. Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan, 2006. "Special Issue on Nonlinear Modelling and Financial Econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2115-2117, December. [Downloadable!] (restricted)

  7. Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November. [Downloadable!] (restricted)
    Other versions:

  8. Siem Jan Koopman & John A. D. Aston, 2006. "A non-Gaussian generalization of the Airline model for robust seasonal adjustment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 325-349. [Downloadable!]

  9. Valle e Azevedo, Joao & Koopman, Siem Jan & Rua, Antonio, 2006. "Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 278-290, July. [Downloadable!] (restricted)

  10. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June. [Downloadable!] (restricted)
    Other versions:

  11. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December. [Downloadable!] (restricted)

  12. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323. [Downloadable!]
    Other versions:

  13. Rob Luginbuhl & Siem Jan Koopman, 2004. "Convergence in European GDP series: a multivariate common converging trend-cycle decomposition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 611-636. [Downloadable!]

  14. Kai Lee & Siem Jan Koopman, 2004. "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1210-1210. [Downloadable!] (restricted)

  15. Koopman S.J. & Bos C.S., 2004. "State Space Models With a Common Stochastic Variance," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 346-357, July. [Downloadable!] (restricted)

  16. S. J. Koopman & J. Durbin, 2003. "Filtering and smoothing of state vector for diffuse state-space models," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(1), pages 85-98, 01. [Downloadable!] (restricted)

  17. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May. [Downloadable!] (restricted)
    Other versions:

  18. Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469. [Downloadable!] (restricted)
    Other versions:

  19. S. J. Koopman, 2002. "Discussion of 'MCMC-based inference' by R. Paap," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(1), pages 34-40. [Downloadable!] (restricted)

  20. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689. [Downloadable!]

  21. Koopman, Siem Jan & Franses, Philip Hans, 2002. " Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-26, December. [Downloadable!] (restricted)
    Other versions:

  22. F. Butter & S. Koopman, 2001. "Interaction between structural and cyclical shocks in production and employment," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(2), pages 273-296, June. [Downloadable!] (restricted)

  23. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56. [Downloadable!] (restricted)
    Other versions:

  24. Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
    Other versions:

  25. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    Other versions:

  26. Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September. [Downloadable!] (restricted)

  27. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.

  28. Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997. "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October. [Downloadable!] (restricted)

  29. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.

NEP Fields

31 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (3) 2006-03-25 2007-01-23 2007-03-17
  2. NEP-CBA: Central Banking (3) 2006-03-25 2008-02-23 2008-06-27
  3. NEP-CFN: Corporate Finance (4) 2002-12-02 2002-12-17 2003-10-20 2004-04-25
  4. NEP-CMP: Computational Economics (1) 2001-05-02
  5. NEP-ECM: Econometrics (21) 1999-03-08 1999-07-12 1999-07-28 2000-06-29 2001-05-02 2002-12-18 2003-10-20 2004-04-25 2005-12-01 2006-01-24 2006-01-24 2006-01-24 2006-04-22 2006-12-09 2007-01-23 2007-05-26 2008-02-23 2008-02-23 2008-04-21 2008-06-21 2008-06-21 Author is listed
  6. NEP-EEC: European Economics (2) 2003-04-27 2003-09-14
  7. NEP-ENE: Energy Economics (3) 2003-10-20 2006-01-24 2008-06-21
  8. NEP-ETS: Econometric Time Series (21) 1999-03-08 1999-07-28 1999-07-28 2000-06-29 2001-05-02 2001-10-22 2002-12-02 2002-12-17 2004-04-25 2004-08-23 2005-12-01 2006-01-24 2006-01-24 2006-01-24 2006-12-09 2007-01-23 2007-05-26 2008-04-21 2008-06-21 2008-06-21 2008-06-27 Author is listed
  9. NEP-FIN: Finance (7) 2000-06-29 2003-09-14 2004-04-25 2005-12-01 2006-01-24 2006-03-25 2006-04-22 Author is listed
  10. NEP-FMK: Financial Markets (3) 2000-06-29 2002-12-02 2006-03-25
  11. NEP-FOR: Forecasting (3) 2007-01-23 2008-06-21 2008-06-21
  12. NEP-MAC: Macroeconomics (10) 2002-07-31 2003-09-14 2003-09-14 2006-01-24 2006-03-25 2006-12-09 2007-01-23 2008-02-23 2008-02-23 2008-06-27 Author is listed
  13. NEP-MFD: Microfinance (1) 2002-12-17
  14. NEP-MON: Monetary Economics (3) 2008-02-23 2008-02-23 2008-06-27
  15. NEP-ORE: Operations Research (2) 2008-02-23 2008-04-21
  16. NEP-RMG: Risk Management (2) 2002-12-02 2002-12-17
  17. NEP-URE: Urban & Real Estate Economics (1) 2007-05-26
Did you know? IDEAS also indexes books.

This page was last updated on 2008-8-4.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.