S.J. Koopman

University of Amsterdam

Netherlands

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Articles (19)

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2024

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2024

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2022

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2022

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2022

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2022

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2021

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2021

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2021

Collaborators (10)

Andre Lucas

University of Amsterdam

NETHERLANDS

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Mikkel Bennedsen

Associate Professor

Aarhus University

DENMARK

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Jeroen C. J. H. Aerts

NETHERLANDS

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Mengheng Li

Senior Lecturer

University of Sydney

AUSTRALIA

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Eric Hillebrand

Aarhus University

DENMARK

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Enzo D'Innocenzo

University of Bologna

ITALY

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Nadia Bloemendaal

University of Amsterdam

NETHERLANDS

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Hans de Moel

University of Amsterdam

NETHERLANDS

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Jens de Bruijn

University of Amsterdam

NETHERLANDS

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Paolo Gorgi

University of Amsterdam

NETHERLANDS

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S.J. Koopman

Research Interests

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Articles (19)

Observation-driven filtering of time-varying parameters using moment conditions

Common and idiosyncratic conditional volatility

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

A robust Beveridge–Nelson decomposition using a score-driven approach with an application

Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

A statistical model of the global carbon budget 1959-2020

On the evidence for a trend in the CO2 airborne fraction?

Estimation of final standings in football competitions with a premature ending: the case of COVID-19

A multivariate dynamic statistical model of the global carbon budget 1959-2020

Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects

Beta observation-driven models with exogenous regressors

On the evidence of a trend in the CO2 airborne fraction

Maximum likelihood estimation for score-driven models

Using rapid damage observations for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian using social media

A time-varying parameter model for local explosions

Joint Decomposition of Business and Financial Cycles

Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors

Unobserved components with stochastic volatility

Missing observations in observation-driven time series models

Collaborators (10)

Andre Lucas

Mikkel Bennedsen

Jeroen C. J. H. Aerts

Mengheng Li

Eric Hillebrand

Enzo D'Innocenzo

Nadia Bloemendaal

Hans de Moel

Jens de Bruijn

Paolo Gorgi

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