Jungbacker, B., Koopman, S. and van der Wel, M. (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates Journal of Applied Econometrics, 29(1):65--90.
7 Key Publications
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Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915. -
Mesters, G. and Koopman, S. (2014). Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time Journal of Econometrics, 180(2):127--140. -
Kleibergen, F. and Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models Journal of Applied Econometrics, 29(7):1183--1207. -
Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284. -
Dijk, D.van, Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29(5):693--712. -
Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135.