Bos, C., Koopman, S. and Ooms, M. (2014). Long memory with stochastic variance model: A resursive analysis for U.S. inflation Computational Statistics and Data Analysis, 76(August):144--157.
49 key publications
filtered by:
-
-
Kontoghiorghes, ErricosJ., Van Dijk, HermanK., Belsley, DavidA., Bollerslev, T., Diebold, FrancisX., Dufour, J.M., Engle, R., Harvey, A., Koopman, S.J., Pesaran, H., Phillips, PeterC.B., Smith, RichardJ., West, M., Yao, Q., Amendola, A., Billio, M., Chen, CathyW.S., Chiarella, C., Colubi, A., Deistler, M., Francq, C., Hallin, M., Jacquier, E., Judd, K., Koop, G., Lütkepohl, H., MacKinnon, JamesG., Mittnik, S., Omori, Y., Pollock, D.S.G., Proietti, T., Rombouts, JeroenV.K., Scaillet, O., Semmler, W., So, MikeK.P., Steel, M., Taylor, R., Tzavalis, E., Zakoian, J.M., Peter Boswijk, H., Luati, A. and Maheu, J. (2014). CFEnetwork: The Annals of computational and financial econometrics: 2nd issue Computational Statistics and Data Analysis, 76:1--3.
-
Dordonnat, V., Koopman, S. and Ooms, M. (2012). Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling Computational Statistics and Data Analysis, 56(11):3134--3152.
-
Belsley, D.A., Kontoghiorghes, E.J., Van Dijk, H.K., Bauwens, L., Koopman, S.J., McAleer, M., Amendola, A., Billio, M., Croux, C., Chen, CathyW.S., Davidson, R., Duchesne, P., Foschi, P., Francq, C., Fuertes, A.M., Koop, G., Khalaf, L., Paolella, M., Pollock, D.S.G., Ruiz, E., Paap, R., Proietti, T., Winker, P., Yu, PhilipL.H., Zakoian, J.M. and Zeileis, A. (2012). The Annals of Computational and Financial Econometrics, first issue Computational Statistics and Data Analysis, 56(11):2991--2992.
-
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666.
-
Fok, D., Paap, R. and Franses, P.H. (2012). Modeling Dynamic Effects of Promotion on Interpurchase Times Computational Statistics and Data Analysis, 56(11):3055--3069.
-
van Rosmalen, J., van Herk, H. and Groenen, PatrickJ.F. (2010). Identifying Response Styles: A Latent-Class Bilinear Multinomial Logit Model Journal of Marketing Research, 47(1):157--172.
-
van Nierop, E., Bronnenberg, B., Paap, R., Franses, P.H. and Wedel, M. (2010). Retrieving Unobserved Consideration Sets from Household Panel Data Journal of Marketing Research, 47(1):63--74.
-
Heidergott, B., Hordijk, A. and Leder, N. (2010). An approximation approach for the deviation matrix of continuous-time Markov processes with application to Markov decision theory Operations Research, 58:918--932.
-
Heidergott, B., Hordijk, A. and Leder, N. (2010). Series expansions for continuous-time Markov chains Operations Research, 58:756--767.
-
van de Velden, M., Groenen, P. and Poblome, J. (2009). Seriation by constrained correspondence analysis: A simulation study Computational Statistics and Data Analysis, 53(8):3129--3138.
-
Blasius, J., Greenarcre, M., Groenen, P. and van de Velden, M. (2009). Special issue on correspondence analysis and related methods Computational Statistics and Data Analysis, 53(8):3103--3106.
-
Koellinger, P. (2008). The relationship between technology, innovation, and firm performance-Empirical evidence from e-business in Europe Research Policy, 37(8):1317--1328.
-
van Dijk, D., Franses, P.H. and Boswijk, H. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics and Data Analysis, 51(9):4206--4226.
-
van den Bergh, J.C.J.M., van Leeuwen, E.S., Oosterhuis, F., Rietveld, P. and Verhoef, E. (2007). Social learning by doing in sustainable transport innovations: ex-post analysis of common factors behind successes and failures Research Policy, 36:247--259.
-
Heij, C., Groenen, P. and van Dijk, D. (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics and Data Analysis, 51(7):3612--3625.
-
Geweke, J., Groenen, P., Paap, R. and van Dijk, H. (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. Computational Statistics and Data Analysis, 51(7):3506--3507.
-
Amendola, A., Francq, C. and Koopman, S. (2006). Nonlinear Modelling and Financial Econometrics. Editorial Computational Statistics and Data Analysis, 51(4):2115--2117.
-
Ooms, M. and Koopman, S. (2006). Forecasting daily time series using periodic unobserved components time series models Computational Statistics and Data Analysis, 51(2):885--903.
-
Fok, D., Horvath, C., Paap, R. and Franses, P.H. (2006). A hierarchical Bayes error correction model to explain dynamic effects of price changes Journal of Marketing Research, 43(3):443--461.