Time series analysis by state space methods J Durbin, SJ Koopman OUP Oxford, 2012 | 5407 | 2012 |
STAMP 6.0: Structural time series analyser, modeller and predictor SJ Koopman, AC Harvey, JA Doornik, N Shephard London: Timberlake Consultants, 2000 | 1054 | 2000 |
Generalized autoregressive score models with applications D Creal, SJ Koopman, A Lucas Journal of Applied Econometrics 28 (5), 777-795, 2013 | 1036 | 2013 |
A simple and efficient simulation smoother for state space time series analysis J Durbin, SJ Koopman Biometrika 89 (3), 603-616, 2002 | 872 | 2002 |
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements SJ Koopman, B Jungbacker, E Hol Journal of Empirical Finance 12 (3), 445-475, 2005 | 765 | 2005 |
Statistical algorithms for models in state space using SsfPack 2.2 SJ Koopman, N Shephard, JA Doornik The Econometrics Journal 2 (1), 107-160, 1999 | 686 | 1999 |
Monte Carlo maximum likelihood estimation for non-Gaussian state space models J Durbin, SJ Koopman Biometrika 84 (3), 669-684, 1997 | 601 | 1997 |
An introduction to state space time series analysis JJF Commandeur, SJ Koopman Oxford University Press, USA, 2007 | 589 | 2007 |
Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives J Durbin, SJ Koopman Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2000 | 510 | 2000 |
Estimation of stochastic volatility models via Monte Carlo maximum likelihood G Sandmann, SJ Koopman Journal of Econometrics 87 (2), 271-301, 1998 | 483 | 1998 |
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations D Creal, SJ Koopman, A Lucas Journal of Business & Economic Statistics 29 (4), 552-563, 2011 | 351 | 2011 |
10 structural time series models AC Harvey, N Shephard Elsevier 11, 261-302, 1993 | 348 | 1993 |
Forecasting hourly electricity demand using time-varying splines A Harvey, SJ Koopman Journal of the American Statistical Association 88 (424), 1228-1236, 1993 | 336 | 1993 |
Periodic seasonal Reg-ARFIMA–GARCH models for daily electricity spot prices SJ Koopman, M Ooms, MA Carnero Journal of the American Statistical Association 102 (477), 16-27, 2007 | 335 | 2007 |
Diagnostic checking of unobserved-components time series models AC Harvey, SJ Koopman Journal of Business & Economic Statistics 10 (4), 377-389, 1992 | 333 | 1992 |
Exact initial Kalman filtering and smoothing for nonstationary time series models SJ Koopman Journal of the American Statistical Association 92 (440), 1630-1638, 1997 | 326 | 1997 |
Disturbance smoother for state space models SJ Koopman Biometrika 80 (1), 117-126, 1993 | 301 | 1993 |
The stochastic volatility in mean model: empirical evidence from international stock markets SJ Koopman, E Hol Uspensky Journal of applied Econometrics 17 (6), 667-689, 2002 | 270 | 2002 |
Fast filtering and smoothing for multivariate state space models SJ Koopman, J Durbin Journal of time series analysis 21 (3), 281-296, 2000 | 238 | 2000 |
Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters SJ Koopman, MIP Mallee, M Van der Wel Journal of Business & Economic Statistics 28 (3), 329-343, 2010 | 233 | 2010 |