Siem Jan Koopman

Siem Jan Koopman

VU University of Amsterdam - Amsterdam / Netherlands
Economics & Econometrics / Economics
AD Scientific Index ID: 1858731
Vrije Universiteit Amsterdam
person_outline Siem Jan Koopman's MOST POPULAR ARTICLES
1-) Time series analysis by state space methods Oxford University Press (UK), 2012
2-) Generalized autoregressive score models with applications Journal of applied econometrics 28 (5), 777-795, 2013
3-) A simple and efficient simulation smoother for state space time series analysis Biometrika 89 (3), 603-616, 2002
4-) Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements Journal of Empirical Finance 12 (3), 445-475, 2005
5-) Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurementsSJ Koopman, B Jungbacker, E HolJournal of Empirical Finance 12 (3), 445-475, 20057942005