8th Meeting of the Netherlands Econometrics Study Group
Saturday, 15 June 2013

• Location : Tinbergen Institute Amsterdam, Gustav Mahlerplein 117, 1082 MS Amsterdam Google Maps : http://goo.gl/maps/7YCMV
• Keynote speaker : Tiemen Woutersen (University of Arizona)
• Preliminary programme : Programme NESG 2013
• Registration and more information : Website NESG 2013
• Local organizer : VU Econometrics Group

News

• (May 14, 2013) We are participating, together with Department of Finance, in a research project of the Seventh Framework programme of the European Community, FP7. It is named SYRTO : SYstemic Risk TOmography This grant is joint with the universities of Athens, Brescia, Venezia, and Paris I. The first kick-off meeting was held in Brescia, in the beginning of April 2013. Later this year, in September 2013, we will be welcoming Julia Schaumburg to work with us as a postdoc researcher on SYRTO-related projects.

• (May 14, 2013) Our GAS research team is expanding with two more postdoc researchers from September 2013: Kazim Azam and Anne Opschoor. Also, we are still looking for other good candidates for our two-year postdoc positions. Candidates should preferably be interested to work on time varying parameter models. Please send your package to Andre Lucas or to me.

• (May 14, 2013) We have received a ''Call for Papers'' for the OxMetrics user conference 2013 at CREATES, Aarhus University.

• (April 12, 2013) A new entry has appeared in the recent publications section.

• (March 27, 2013) A new entry has appeared in the recent papers section.

• (March 9, 2013) In 2013, SJK is involved in various Conferences and Workshops, including WIPFOR 2013 in Paris, NESG 2013 in Amsterdam (with keynote speaker Tiemen Woutersen) and OxMetrics user conference 2013 at CREATES, Aarhus University.

• (January 10, 2013) The Special Issue on State Space Methods for the Journal of Statistical Software has been available on-line for more than one and a half year and it has been quite successful. The number of downloads for our introductory paper is now almost 6,000 while the contributions for R and Matlab are downloaded more than 12,000 and 14,000 times, respectively.

• (December 21, 2012) SJK has been listed 13 in the ESB Economics Ranking in The Netherlands. The list is here (text in Dutch).

• (November 29, 2012) Oxford University Press has arranged that the books Time Series Analysis by State Space Methods (with Durbin) and An Introduction to State Space Time Series Analysis (with Commandeur) will be translated in Chinese and published by China Financial Publishing House in 2014.

• (October 23, 2012) The Durbin and Koopman book Time Series Analysis by State Space Methods has recently appeared in a Second Edition. The book has now 368 pages and is published by Oxford University Press. You can order the book here or at OUP, both from UK and from USA.

Recent working papers

• Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models by Istvan Barra, Lennart Hoogerheide, SJK and Andre Lucas (2013).

• A forty year assessment of forecasting the Boat Race by Geert Mesters and SJK (2012).

• A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League by SJK and Rutger Lit (2012).

• Forecasting Interest Rates with Shifting Endpoints by Dick van Dijk, SJK, Michel van der Wel and Jonathan H. Wright (2012).

• Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes by Francisco Blasques, SJK and Andre Lucas (2012).

• 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).

• All working papers...

Recent publications

• Forthcoming : Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk in Review of Economics and Statistics by D.D. Creal, B. Schwaab, SJK, A. Lucas (2013).

• Forthcoming : Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis in International Journal of Forecasting by Falk Brauning and SJK (2013).

• Forthcoming : Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model in International Journal of Forecasting by SJK and M. van der Wel (2013).

• Forthcoming : Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates in Journal of Applied Econometrics by B. Jungbacker, SJK and M. van der Wel (2013).

• Forthcoming : Long Memory with Stochastic Variance Model: a Recursive Analysis for U.S. Inflation in Computational Statistics & Data Analysis, by C.S. Bos, SJK and M. Ooms (2013).

• Just in print : The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures in Journal of Financial Econometrics by SJK and M. Scharth (2013).

• Just in print : Modeling Trigonometric Seasonal Components for Monthly Economic Time Series in Applied Economics, by I. Hindrayanto, J.A.D. Aston, SJK and M. Ooms (2013).

• Just in print : Dynamic factor models with macro, frailty, and industry effects for U.S. default counts: the credit crisis of 2008 in Journal of Business and Economic Statistics by SJK, A. Lucas and B. Schwaab (2012).

• Just in print : 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).

• Just in print : Economic Trends and Cycles in Crime: A Study for England and Wales in Jahrbücher für Nationalökonomie und Statistik (Journal of Economics and Statistics), by S. Vujic, J.J.F. Commandeur and SJK (2012).

• Online : Generalized Autoregressive Score Models with Applications in Journal of Applied Econometrics by Drew D. Creal, SJK and Andre Lucas (2013).

• All articles including forthcomings ...

Selected presentations

• June 20-22, 2012: Presentation for Fifth Annual SoFiE Conference with Oxford-Man Institute, University of Oxford.

• June 27-29, 2012: Invited Speaker at 18th International Conference, Computing in Economics and Finance organised by The Society for Computational Economics, in Prague, Czech Republic.

• July 6, 2012: Seminar at National Bank of Serbia in Belgrade.

• September 27-28, 2012: Invited Speaker at G20 Conference on “Financial Systemic Risk” with Bank of Turkey, in Istanbul, Turkey.

• November 16-18, 2012: Invited Speaker at The Third International Conference High-Frequency Data Analysis in Financial Markets organised by Research Unit for Statistical and Empirical Analysis in Social Sciences, Hitotsubashi University, Tokyo. The conference took place at Hiroshima University, Japan.

• December 4, 2012: Seminar at Sveriges Riksbank (National Bank of Sweden) in Stockholm.

• Past presentations

Some conferences in 2013

• January 17-18, 2013: Workshop on Dynamic Models driven by the Score of Predictive Likelihoods at Tinbergen Institute Amsterdam, The Netherlands.

• May 24-25, 2013: Conference Forecasting Structure and Time Varying Patterns in Economics and Finance at Econometric Institute, Erasmus University Rotterdam, The Netherlands.

• June 5-7, 2013: Workshop on Industry & Practices for Forecasting, WIPFOR 2013 at EDF Rechearch & Developement, Clamart, Paris, France.

• June 15, 2013: The Netherlands Econometric Study Group 2013 at Tinbergen Institute Amsterdam, The Netherlands. Keynote speaker : Tiemen Woutersen.

• September 5-6, 2013: OxMetrics user conference 2013 at CREATES, Aarhus University, Denmark.

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, both since 1999. He is currently also a Visiting Researcher at the European Central Bank, Financial Research.

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. Further 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 research interests of SJK are statistical analysis of time series, financial econometrics, simulation-based estimation, Kalman filter, economic forecasting and other topics in time series econometrics.

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.