Koopman, S. and Mesters, G. (2017). Empirical Bayes Methods for Dynamic Factor Models Review of Economics and Statistics, 99(3):486--498.
3 Key Publications
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Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317. -
Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.