Concepedia
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Publications
8
Citations
1.1K
H-Index
Active since
2004
Affiliations
Tinbergen Institute(Current)
Vrije Universiteit Amsterdam
Aarhus University
Borus Jungbacker is an author at Tinbergen Institute specializing in time series analysis, factor models, and finance.
Publications per year
2004–2014
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Siem Jan Koopman, Borus Jungbacker, Eugenie M. J. H. Hol · Journal of Empirical Finance · 2005 · 554 citations
Business, Finance, Financial Management +17
Maximum likelihood estimation for dynamic factor models with missing data
Borus Jungbacker, Siem Jan Koopman, Michel van der Wel · Journal of Economic Dynamics and Control · 2011 · 105 citations · Full text
Business, Biostatistics, Statistical Modeling +9
Likelihood-based Analysis for Dynamic Factor Models
Borus Jungbacker, Siem Jan Koopman · Digital Academic REpository of VU University Amsterdam (Vrije Universiteit Amsterdam) · 2008 · 99 citations · Full text
Social Sciences, Economics, Econometrics +16
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
Borus Jungbacker, Siem Jan Koopman · Biometrika · 2007 · 97 citations
Computing, Finance, Probability Theory +16
Likelihood‐based dynamic factor analysis for measurement and forecasting
Borus Jungbacker, Siem Jan Koopman · Econometrics Journal · 2014 · 90 citations
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