Siem Jan Koopman 2013
VU University Amsterdam
Tinbergen Institute
8th Meeting of the Netherlands Econometrics Study Group
Saturday, 15 June 2013
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
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
Address:
VU Amsterdam -- FEWEB,
De Boelelaan 1105,
1081 HV Amsterdam,
The Netherlands
Office: Main VU building, first floor, Room 1A-38
Telephone:+31 20 598 60 19
Fax:+31 20 598 60 20
E-mail: s.j.koopman [at] vu.nl
Homepage: http://personal.vu.nl/s.j.koopman/
Secretary: Hedda Werkman
(+31 20 598 6010)
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.