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Siem Jan Koopman

VU University Amsterdam
Tinbergen Institute
Aarhus University

511

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15941

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Maximum likelihood estimation for score-driven models

2021 Journal of Econometrics
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A time-varying parameter model for local explosions

2021 Journal of Econometrics
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Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

2021 Social Science Research Network
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Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*

2021 Oxford Bulletin of Economics and Statistics
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Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

2021 Research Papers in Economics
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors

2021 Energy Economics
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Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

2021 Social Science Research Network
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Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

2021 Research Papers in Economics
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Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

2021
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Time-varying state correlations in state space models and their estimation via indirect inference

2021 Social Science Research Network
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