Siem Jan Koopman | research | projects |

Professor of Econometrics
Vrije Universiteit Amsterdam
Tinbergen Institute

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Contact details

Address: S.J. Koopman | Department of Econometrics | Vrije Universiteit Amsterdam | De Boelelaan 1105 | 1081 HV Amsterdam | The Netherlands

Telephone:+31 20 598 60 19
E-mail: s.j.koopman [at]
Secretary: Alies Ransijn (+31 20 598 6010)

Short CV

SJK is Professor of Econometrics at Vrije Universiteit Amsterdam and a research fellow at Tinbergen Institute. He is a Founding Fellow of the International Association for Applied Econometrics, Journal of Applied Econometrics Distinguished Author, and Fellow of the Society of Financial Econometrics (SoFiE). He was the 2019-2020 Laureate of the Francqui Chair, at Faculty of Business and Economics, University of Antwerp, in 2020-21. Also, he was a long-term Visiting Professor at CREATES, University of Aarhus for many years. He further held positions at London School of Economics and CentER (Tilburg University), and had long-term visits at US Bureau of the Census, European University Institute, and European Central Bank, Financial Research.

The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001, the current Second Edition in 2012. 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 main research interest of SJK is developing statistical methodology for time series analysis, modelling and prediction, with particular focus on state space models, Kalman filter methods and score-driven models, and with applications in fields such as economics, climate, energy, finance, crime and sports.

He fullfills editorial duties at Journal of Forecasting. Finally, SJK is an OxMetrics software developer for STAMP and SsfPack.