News

• (March 8, 2012) We can announce a vacant position for a Postdoctoral Researcher in Econometrics in our VU Econometrics Group.

• (March 6, 2012) New working papers are added to the recent papers section.

• (December 16, 2011) The Special Issue on State Space Methods for the Journal of Statistical Software has been quite successful. The number of downloads for our introductory paper is 2,500 while the contributions for R and Matlab are downloaded more than 4,000 times.

• (May 13, 2011) The volume (Issue 41) of Journal of Statistical Software on Statistical Software for State Space Methods has appeared, edited by Jacques Commandeur, SJK and Marius Ooms.

• (May 13, 2011) Our VU Econometrics Group currently consists of Charles Bos, Jacques Commandeur, Lennart Hoogerheide (new, since April, 2011), SJK, Michael Massmann and Marius Ooms. In the coming summer, our group will be extended by Katarzyna Lasak (currently at Aarhus University), Kris Boudt (Lecturer at KU Leuven University, for 2 days a week, joint with VU Department of Finance) and Francisco Blasques (PhD candidate at Maastricht University, joint with VU Department of Finance).

Recent working papers

• Predicting time-varying parameters with parameter-driven and observation-driven models by SJK, Andre Lucas and Marcel Scharth (2012).

• Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time by Geert Mesters and SJK (2012).

• Fast Efficient Importance Sampling by State Space Methods by SJK and Thuy Minh Nguyen (2012).

• Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia by Suncica Vujic, Jacques Commandeur and SJK (2012).

• Long Memory Dynamics for Multivariate Dependence under Heavy Tails by Pawel Janus, SJK and Andre Lucas (2011).

• The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures by SJK and Marcel Scharth (2011).

• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models by Geert Mesters, SJK and Marius Ooms (2011).

• Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails by Xin Zhang, Drew Creal, SJK and Andre Lucas (2011).

• Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model by SJK and Michel van der Wel (2011).

• Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models by SJK, Andre Lucas and Marcel Scharth (2011).

• Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk by Drew Creal, Bernd Schwaab, SJK and Andre Lucas (2011).

• All working papers...

Recent publications

• Forthcoming : Spot variance path estimation and its application to high frequency jump testing in Journal of Financial Econometrics by Charles Bos, Pawel Janus and SJK (2012).

• Forthcoming : Generalized Autoregressive Score Models with Applications in Journal of Applied Econometrics by Drew D. Creal, SJK and Andre Lucas (2012).

• Just in print : A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations in Journal of Business and Economic Statistics by Drew D. Creal, SJK and Andre Lucas (2011).

• Just online : Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling in Computational Statistics & Data Analysis by V. Dordonnat, SJK and M. Ooms (2011).

• Maximum likelihood estimation for dynamic factor models with missing data in Journal of Economic Dynamics and Control by B. Jungbacker, SJK and M. van der Wel (2011).

• Modeling Frailty-correlated Defaults Using Many Macroeconomic Covariates in Journal of Econometrics by SJK, Andre Lucas and Bernd Schwaab (2011).

• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra in Journal of Forecasting by SJK and Soon Yip Wong (2011).

• All articles including forthcomings ...

Presentations

• Speaker at the 10th OxMetrics User Conference, to be held 1 and 2 September 2011, at the School of Business and Economics, Maastricht University, The Netherlands.

• Speaker at the SCo 2011 -- 7th Conference on Statistical Computation and Complex Systems, to be held 19-21 September 2011, at the Palazzo Centrale del Bo, Universita degli Studi di Padova, Padova, Italy.

• Speaker at the 8th IIF Workshop ``Forecasting the Business Cycle'', to be held 1 and 2 December 2011, at the Banque de France in Paris and organised by Banque de France and The International Institute of Forecasters (IIF).

• Past presentations

Contact details

Siem Jan Koopman

Department of Econometrics, FEWEB
VU University Amsterdam.
Tinbergen Institute

Short CV

SJK is Professor of Econometrics at the Vrije Universiteit Amsterdam and research fellow at the Tinbergen Institute since 1999. His Ph.D. is from the London School of Economics (LSE) and dates back to 1992. He had positions at the LSE 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. Recently he was a Fernand Braudel Senior Fellow at the Department of Economics, European University Institute, Florence, Italy, in April-June, 2010.

His research interests are Statistical analysis of time series; Time series econometrics; Financial econometrics; Kalman filter; Simulation-based estimation; Forecasting.

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