Siem Jan Koopman

According to our database, Siem Jan Koopman authored at least 7 papers between 2006 and 2014.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu

Comput. Stat. Data Anal., 2014

Long memory with stochastic variance model: A recursive analysis for US inflation.

Charles S. Bos, Siem Jan Koopman, Marius Ooms

Comput. Stat. Data Anal., 2014

2012

Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling.

Virginie Dordonnat, Siem Jan Koopman, Marius Ooms

Comput. Stat. Data Anal., 2012

The Annals of Computational and Financial Econometrics, first issue.

David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis

Comput. Stat. Data Anal., 2012

2010

Exact maximum likelihood estimation for non-stationary periodic time series models.

Irma Hindrayanto, Siem Jan Koopman, Marius Ooms

Comput. Stat. Data Anal., 2010

2006

Forecasting daily time series using periodic unobserved components time series models.

Siem Jan Koopman, Marius Ooms

Comput. Stat. Data Anal., 2006

Special Issue on Nonlinear Modelling and Financial Econometrics.

Alessandra Amendola, Christian Francq, Siem Jan Koopman

Comput. Stat. Data Anal., 2006