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Prof.dr. S.J. Koopman

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Expertise Statistical analysis of time series; Time series econometrics; Financial econometrics; Kalman filter; Simulation-based estimation; Forecasting
Expertise (NL) Statistical analysis of time series; Time series econometrics; Financial econometrics; Kalman filter; Simulation-based estimation; Forecasting
Digital Author ID info:eu-repo/dai/nl/090919564

Active as

Professor
Organisation Department of Econometrics (VU)
Chair (EN) Econometrics
Chair (NL) Econometrie
Phone +31-20-5986019
Email s. j. koopman -at- vu. nl
URL http://staff.feweb.vu.nl/koopman

Publications

Forecasting the U.S. term structure of interest rates using a macroeconomic smooth dynamic factor model
Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Statistical software for state space methods. Journal of Statistical Software
Modeling trigonometric seasonal components for monthly economic time series
Models with time-varying mean and variance: A robust analysis of US industrial production
All publications..

Current research

(the most recent research is at the top)
Supervisor Essays in Financial Econometrics
Supervisor Generalized Panel Time Series Models with Applications in Crime Studies
Supervisor Essays on Monte Carlo Methods for State Space Models

Completed research projects

(the most recent research is at the top)
Supervisor Developments in Likelihood-Based Methods for State Space Models
Supervisor Estimation of Business Cycles using Unobserved Components Models
Project leader Time Series Econometrics: methods, computations and applications
Supervisor Periodic Seasonal Time Series Models with applications to U.S. macroeconomic data
Supervisor The effect of economic development and policy on criminality

Classification

D43000 Economics

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