Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter Journal of Applied Econometrics, 25:695--719.
6 Key Publications
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Koopman, S., Mallee, M. and van der Wel, M. (2010). Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters Journal of Business and Economic Statistics, 28(3):329--343. -
Boswijk, H., Franses, P. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2. -
Chulia-Soler, H., Martens, M. and van Dijk, D. (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations Journal of Banking and Finance, 34(4):834--839.
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Koopman, S. (2010). Discussion of `Particle Markov chain Monte Carlo methods – C. Andrieu, A. Doucet and R. Holenstein’ [Review of: Particle Markov chain Monte Carlo methods] Journal of the Royal Statistical Society. Series B. Statistical Methodology, 72:269--342.
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Boswijk, H., Franses, P. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.