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Disambiguation of "Koopman, Siem Jan"

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Empirical credit cycles and capital buffer formation

, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)

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Johannes Koopman

Käthe Siem

Arne Koopman

Birte Siem

Hans Kristian Koopman

 

Other publications of authors with the same name

State Space Modeling in Macroeconomics and Finance Using SsfPack for S+Finmetrics, , and . (May 2003)Unpublished mimeo..The multi-state latent factor intensity model for credit rating transitions, , and . Journal of Econometrics, 142 (1): 399--424 (January 2008)Estimation of stochastic volatility models via Monte Carlo maximum likelihood, and . Journal of Econometrics, 87 (2): 271--301 (December 1998)Empirical credit cycles and capital buffer formation, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., , , , , , , , , and 32 other author(s). Comput. Stat. Data Anal., (2014)Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, and . Econometric Reviews, 25 (2): 385--408 (2006)Forecasting daily time series using periodic unobserved components time series models, and . Computational Statistics & Data Analysis, 51 (2): 885--903 (Nov 15, 2006)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements, , and . Journal of Empirical Finance, 12 (3): 445--475 (June 2005)Computing observation weights for signal extraction and filtering, and . Journal of Economic Dynamics and Control, 27 (7): 1317--1333 (May 2003)Statistical algorithms for models in state space using SsfPack 2.2, , and . Econometrics Journal, 2 (1): 107-160 (1999)