Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
697 key publications
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Perotti, E. and Kulatilaka, N. (1998). Strategic Growth Options Management Science, 44(8):1021--1031. -
Frances, P. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Bloemen, H. (1997). Job search theory, labour supply and unemployment duration Journal of Econometrics, 79(2):305--325. -
Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368. -
Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422. -
Koopman, S.J. (1997). Exact initial kalman filtering and smoothing for nonstationary time series models Journal of the American Statistical Association, 92(440):1630--1638. -
Franses, P.H., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380. -
Franses, P.H. and Draisma, G. (1997). Recognizing changing seasonal patterns using artificial neural networks Journal of Econometrics, 81:273--280. -
Ooms, M.(. and Franses, P.H. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment Journal of Business and Economic Statistics, 15(4):470--481. -
Durbin, J. and Koopman, S.J. (1997). Monte Carlo maximum likelihood estimation for non-Gaussian state space models Biometrika, 84(3):669--684.
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Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression. Journal of Econometrics, 80(1):167--193. -
van den Brink, J.R. and Gilles, R. (1996). Axiomatizations of the Conjunctive Permission Value for Games with Permission Structure Games and Economic Behavior, 12:113--126.
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Miyamoto, J. and Wakker, P. (1996). Multiattribute Utility Theory without Expected Utility Foundations Operations Research, 44:313--326. -
Wakker, P. and Deneffe, D. (1996). Eliciting von Neumann-Morgenstern Utilities when Probabilities Are Distorted or Unknown Management Science, 42:1131--1150. -
Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173. -
Perotti, E. (1995). Credible privatization American Economic Review, 85(4):847--859. -
Kulatilaka, N. and Perotti, E. (1995). What is lost by waiting to invest The Journal of Finance, 50(3):990--991. -
PC, F. and Wakker, P. (1995). The Invention of the Independence Condition for Preferences Management Science, 41:1130--1144. -
Franses, P.H. (1995). The effects of seasonally adjusting a periodic autoregressive process Computational Statistics and Data Analysis, 19:683--704.