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Vrije Universiteit Amsterdam School of Business and Economics
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CREATES, Aarhus University
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Tinbergen Institute
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An Awesome Autumn
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Time Series Lab
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Top 40 of Economists
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ESB
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Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence
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Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
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Time-varying state correlations in state space models and their estimation via indirect inference
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Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
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Forecasting in a changing world: from the great recession to the COVID-19 pandemic
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A statistical model of the global carbon budget
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Bayesian Risk Forecasting for Long Horizons
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Maximum Likelihood Estimation for correctly specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
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Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
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Generalized Autoregressive Method of Moments
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Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
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Journal of Econometrics
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Estimation of final standings in football competitions with premature ending: the case of COVID-19
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AStA - Advances in Statistical Analysis
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Joint decomposition of business and financial cycles: evidence from eight advanced economies
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Oxford Bulletin of Economics and Statistics
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A Time-Varying Parameter Model for Local Explosions
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Journal of Econometrics
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Maximum Likelihood Estimation for Score-Driven Models
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Journal of Econometrics
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Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
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Journal of Applied Econometrics
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Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
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International Journal of Forecasting
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Modeling, Forecasting and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
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Energy Economics
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Missing Observations in Observation-Driven Time Series Models
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Journal of Econometrics
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Partially Censored Posterior for Robust and Efficient Risk Evaluation
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Journal of Econometrics
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Nonlinear Autoregressive Models with Optimality Properties
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Econometric Reviews
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The Dynamic Factor Network Model with an Application to International Trade
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Journal of Econometrics
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Multiyear statistical prediction of ENSO enhanced by the Tropical Pacific Observing System
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Journal of Climate
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Long Term Forecasting of El Nino Events via Dynamic Factor Simulations
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Journal of Econometrics
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All articles including forthcomings ...
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Department of Econometrics
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Vrije Universiteit Amsterdam
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School of Business and Economics
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VU Campus
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s.j.koopman [at] vu.nl
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Department of Econometrics
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Vrije Universiteit Amsterdam
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2019-2020 Laureate
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Francqui Chair
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Faculty of Business and Economics
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University of Antwerp
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Tinbergen Institute
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long-term Visiting Professor
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CREATES, University of Aarhus
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International Association for Applied Econometrics
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Journal of Applied Econometrics
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Fellow
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Society of Financial Econometrics
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London School of Economics
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CentER (Tilburg University)
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US Bureau of the Census
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European University Institute
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European Central Bank
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Time Series Analysis by State Space Methods
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Second Edition
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An Introduction to State Space Time Series Analysis
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here
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GAS models
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Journal of Business and Economic Statistics
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Journal of Applied Econometrics
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Journal of Forecasting
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OxMetrics
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STAMP
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SsfPack
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