Latest news

• (March 22, 2016) New entries have appeared in the recent papers and in the recent publications sections.

Upcoming conferences in 2016

• Tinbergen Institute : TI Econometrics lecture by Allan Timmermann, 8-9 June, 2016
• Annual Young Economist Conference : Call for Papers, Belgrade, 11-12 June, 2016.
• Tinbergen Institute : TI Economics lecture by Markus K Brunnermeier, 13-15 June, 2016
• 9th Annual Society for Financial Econometrics Conference : SoFiE Conference 2016 at City University of Hong Kong, 14-17 June 2016.
• Netherlands Econometrics Study Group : 21st NESG Conference at Leuven University, with invited speaker Professor Eric Renault, 17-18 June 2016.
• International Institute of Forecasters : 2016 International Symposium on Forecasting in Santander, Spain, 19-22 June 2016.
• International Association for Applied Econometrics : Annual Conference at University of Milan-Bicocca, Italy, 22-25 June 2016.

Recent working papers

• A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” with Francisco Blasques, Paolo Gorgi and Olivier Wintenberger (2016).

• Generalized Autoregressive Method of Moments with Drew Creal, Andre Lucas and Marcin Zamojski (2015).

• Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model by SJK, Rutger Lit and Andre Lucas (2015). An update of The Dynamic Skellam Model with Applications.

• Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions by SJK, Rutger Lit and Andre Lucas (2015).

• Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities by Jacques J.F. Commandeur, Suncica Vujic, SJK and Barbara Kasprzyk-Hordern (2014).

• Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components by Irma Hindrayanto, SJK and Jasper de Winter (2014).

• Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models by Francisco Blasques, SJK, Andre Lucas and Julia Schaumburg (2014).

• Optimal Formulations for Nonlinear Autoregressive Processes by Francisco Blasques, SJK and Andre Lucas (2014).

• Maximum Likelihood Estimation for correctly specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties by Francisco Blasques, SJK and Andre Lucas (2014).

• Time Varying Transition Probabilities for Markov Regime Switching Models by Marco Bazzi, Francisco Blasques, SJK and Andre Lucas (2014).

• A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: an empirical study of non-standard monetary policy in the euro area by Geert Mesters, Bernd Schwaab and SJK (2014).

• Maximum Likelihood Estimation for Generalized Autoregressive Score Models by Francisco Blasques, SJK and Andre Lucas (2014).

• Testing for Parameter Instability in Competing Modeling Frameworks by Francesco Calvori, Drew Creal, SJK and Andre Lucas (2014).

• All working papers...

Recent publications

• Forthcoming : Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data in Journal of Econometrics with F. Blasques, M. Mallee and Z. Zhang (2017).

• Forthcoming : Empirical Bayes Methods for Dynamic Factor Models in Review of Economics and Statistics with G. Mesters (2017).

• Forthcoming : Joint Bayesian analysis of parameters and states in nonlinear non-Gaussian state space models in Journal of Applied Econometrics with I. Barra, L. Hoogerheide and A. Lucas (2016).

• Forthcoming : Global Credit Risk: World, Country and Industry Factors in Journal of Applied Econometrics by B. Schwaab, SJK and A. Lucas (2016).

• Forthcoming : In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models (with discussion) in International Journal of Forecasting with F. Blasques, K. Lasak and A. Lucas (2016).

• Online : Intervention Time Series Analysis of Crime Rates: The Case of Sentence Reform in Virginia in Economic Modelling by S. Vujic, J.J.F. Commandeur and SJK (2016).

• Online : The Information in Systemic Risk Rankings in Journal of Empirical Finance by F. Nucera, B. Schwaab, SJK and A. Lucas (2016).

• Just in print : Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models in Econometric Reviews by G. Mesters, SJK and M. Ooms (2016).

• Just in print : Predicting time-varying parameters with parameter-driven and observation-driven models in Review of Economics and Statistics by SJK, A. Lucas and M. Scharth (2016).

• Just in print : Likelihood-based Dynamic Factor Analysis for Measurement and Forecasting in Econometrics Journal, by B. Jungbacker and SJK (2015).

• Just in print : Information Theoretic Optimality of Observation Driven Time Series Models for Continuous Responses in Biometrika by F. Blasques, SJK and A. Lucas (2015).

• Just in print : Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models in Journal of Business and Economic Statistics by SJK, A. Lucas and M. Scharth (2015).

• Just in print : A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League in Journal of the Royal Statistical Society, Series A by SJK and R. Lit (2015).

• All articles including forthcomings ...

Contact details

Siem Jan Koopman

Department of Econometrics | VU University Amsterdam | FEWEB

Short CV

SJK is Professor of Econometrics, Head of the Department of Econometrics and Operations Research at VU University Amsterdam and research fellow at the Tinbergen Institute. Furthermore, he is a long-term Visiting Professor at CREATES, University of Aarhus and a Visiting Researcher at the European Central Bank, Financial Research. Since 2013, he is a Journal of Applied Econometrics Distinguished Author.

He held positions at the London School of Economics between 1992 and 1997 and at the CentER (Tilburg University) between 1997 and 1999. In 2002 he visited the US Bureau of the Census in Washington DC as an ASA / NSF / US Census / BLS Research Fellow. Furthermore, he was a Fernand Braudel Senior Fellow at the Department of Economics, European University Institute, Florence, Italy, in 2010. His Ph.D. is from the LSE and dates back to 1992.

The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001. The Second Edition is recently published by Oxford University Press, in May 2012. The Durbin & Koopman 2012 book consists of 368 pages. The book An Introduction to State Space Time Series Analysis appeared in 2007 and is written by J.J.F. Commandeur and SJK. His other books (co-authored, software and editorial) are listed here

The research interests of SJK cover topics in statistical analysis of time series, financial econometrics, simulation-based estimation, Kalman filter, economic forecasting and, more generally, time series econometrics. His number of publications in refereed journals since 1992 is 75 while his work includes 29 entries in books and discussions. His current citation h-index at Thomson Reuters is 19 and at Google Scholar is 42.

He fullfills editorial duties at the Journal of Applied Econometrics and the Journal of Forecasting. Finally he is an OxMetrics software developer and is actively engaged in the development of the time series software packages STAMP and SsfPack.