4 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.