5 Key Publications

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  Boswijk, H., Franses, P., and van Dijk, D. (2010a). Cointegration in a historical perspective. Journal of Econometrics, 158(1):156-159.

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  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.

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  Koopman, S., Mallee, M., and van der Wel, M. (2010c). Analyzing the term structure of interest rates using the dynamic nelson-siegel model with time-varying parameters. Journal of Business and Economic Statistics, 28:329-343.

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  Koopman, S., Mallee, M., and van der Wel, M. (2010b). 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.
• Amendola, A. and Belsley, D. and Kontoghiorghes, E.J. and van Dijk, H.K. and Omori, Y. and Zivot, E. (2010). Special issue on statistical and computational methods in finance Computational Statistics and Data Analysis, 52(6):2842--2845.