Marius Ooms
Personal Details
First Name: | Marius |
Middle Name: | |
Last Name: | Ooms |
Suffix: | |
RePEc Short-ID: | poo1 |
| |
http://feweb.vu.nl/econometriclinks/ooms/index.html | |
Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, De Boelelaan 1105, NL- 1081 HV Amsterdam | |
Terminal Degree: | 1993 Econometrisch Instituut; Faculteit der Economische Wetenschappen; Erasmus Universiteit Rotterdam (from RePEc Genealogy) |
Affiliation
(95%) Afdeling Econometrie and Operations Research
School of Business and Economics
Vrije Universiteit Amsterdam
Amsterdam, Netherlandshttps://sbe.vu.nl/nl/afdelingen-en-instituten/econometrie-en-or-nieuw/
RePEc:edi:ectvunl (more details at EDIRC)
(5%) Tinbergen Instituut
Amsterdam, Netherlandshttp://www.tinbergen.nl/
RePEc:edi:tinbenl (more details at EDIRC)
Research output
Jump to: Working papers Articles EditorshipWorking papers
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Tinbergen Institute Discussion Papers
11-090/4, Tinbergen Institute.
- G. Mesters & S. J. Koopman & M. Ooms, 2016. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010.
"Modeling Trigonometric Seasonal Components for Monthly Economic Time Series,"
Tinbergen Institute Discussion Papers
10-018/4, Tinbergen Institute.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
- Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008.
"An Hourly Periodic State Space Model for Modelling French National Electricity Load,"
Tinbergen Institute Discussion Papers
08-008/4, Tinbergen Institute.
- Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007.
"Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model,"
Tinbergen Institute Discussion Papers
07-027/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008. "Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130, February.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007.
"Long memory modelling of inflation with stochastic variance and structural breaks,"
CREATES Research Papers
2007-44, Department of Economics and Business Economics, Aarhus University.
- C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Tinbergen Institute Discussion Papers
06-101/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
- Jurgen A. Doornik & Marius Ooms, 2005.
"Outlier Detection in GARCH Models,"
Economics Papers
2005-W24, Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005.
"Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
05-091/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004.
"Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices,"
Econometric Society 2004 Australasian Meetings
158, Econometric Society.
- M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms, 2004.
"Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models,"
Tinbergen Institute Discussion Papers
04-135/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
- Jurgen A. Doornik & Marius Ooms, 2003.
"Multimodality in the GARCH Regression Model,"
Economics Papers
2003-W20, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001.
"Inflation, Forecast Intervals and Long Memory Regression Models,"
Tinbergen Institute Discussion Papers
01-029/4, Tinbergen Institute.
- Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002. "Inflation, forecast intervals and long memory regression models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
- Jurgen A. Doornik & Marius Ooms, 2001.
"Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models,"
Economics Papers
2001-W27, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
- Jurgen A. Doornik & Marius Ooms, 2000.
"Multimodality and the GARCH Likelihood,"
Econometric Society World Congress 2000 Contributed Papers
0798, Econometric Society.
- Jurgen A. Doornik and Marius Ooms, 2001. "Multimodality and the GARCH Likelihood," Computing in Economics and Finance 2001 76, Society for Computational Economics.
- Marius Ooms & Björn de Groot & Siem Jan Koopman, 1999.
"Time-Series Modelling of Daily Tax Revenues,"
Computing in Economics and Finance 1999
312, Society for Computational Economics.
- Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469, November.
- Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute.
- Ooms, M. & Doornik, J.A., 1999. "Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation," Econometric Institute Research Papers EI 9947/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998.
"Long memory and level shifts: re-analysing inflation rates,"
Econometric Institute Research Papers
EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999. "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, vol. 24(3), pages 427-449.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
- Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Eisinga, R. & Franses, Ph.H.B.F. & Ooms, M., 1997. "Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ooms, M. & Hassler, U., 1996. "A Note on the Effect of Seasonal Dummies on the Periodogram Regression," Econometric Institute Research Papers EI 9629-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Econometric Institute Research Papers EI 9515-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
Articles
- G. Mesters & S. J. Koopman & M. Ooms, 2016.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013.
"Modelling trigonometric seasonal components for monthly economic time series,"
Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010. "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers 10-018/4, Tinbergen Institute.
- Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
- Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011. "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
- Koopman, S.J. & Ooms, M., 2010. "Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments," International Journal of Forecasting, Elsevier, vol. 26(4), pages 647-651, October.
- Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
- Doornik, Jurgen A. & Ooms, Marius, 2008.
"Multimodality in GARCH regression models,"
International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
- Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008.
"An hourly periodic state space model for modelling French national electricity load,"
International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
- V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008.
"Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130, February.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Marius Ooms & Jurgen A. Doornik, 2006. "Econometric software development: past, present and future," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 60(2), pages 206-224, May.
- Koopman, Siem Jan & Ooms, Marius, 2006.
"Forecasting daily time series using periodic unobserved components time series models,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
- Siem Jan Koopman & Marius Ooms, 2004. "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers 04-135/4, Tinbergen Institute.
- Doornik Jurgen A & Ooms Marius, 2004. "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-25, May.
- Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004. "Generalizations of the KPSS‐test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502, November.
- Doornik, Jurgen A. & Ooms, Marius, 2003.
"Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models,"
Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
- Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford.
- Siem Jan Koopman & Marius Ooms, 2003.
"Time Series Modelling of Daily Tax Revenues,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469, November.
- Marius Ooms & Björn de Groot & Siem Jan Koopman, 1999. "Time-Series Modelling of Daily Tax Revenues," Computing in Economics and Finance 1999 312, Society for Computational Economics.
- Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute.
- Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002.
"Inflation, forecast intervals and long memory regression models,"
International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001. "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers 01-029/4, Tinbergen Institute.
- Eisinga, Rob & Franses, Philip Hans & Ooms, Marius, 1999. "Forecasting long memory left-right political orientations," International Journal of Forecasting, Elsevier, vol. 15(2), pages 185-199, April.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999.
"Long memory and level shifts: Re-analyzing inflation rates,"
Empirical Economics, Springer, vol. 24(3), pages 427-449.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
- Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998. "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Marius Ooms, 1999. "Review of SsfPack 2.2: statistical algorithms for models in state space," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 161-166.
- Ooms, Marius & Franses, Philip Hans, 1997. "On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 470-481, October.
- Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, vol. 13(1), pages 117-126, March.
- Ooms, Marius & Hassler, Uwe, 1997. "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, vol. 56(2), pages 135-141, October.
Editorship
- Econometrics Journal, Royal Economic Society.
- Econometrics Journal, Royal Economic Society.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (10) 2001-12-19 2004-01-18 2004-08-23 2006-01-24 2006-01-24 2006-04-08 2007-01-23 2008-06-27 2011-02-26 2011-07-13. Author is listed
- NEP-ECM: Econometrics (8) 1999-07-12 2001-12-19 2004-01-25 2006-01-24 2007-01-23 2008-02-23 2011-02-26 2011-07-13. Author is listed
- NEP-ENE: Energy Economics (3) 2003-10-20 2006-01-24 2008-06-21
- NEP-FIN: Finance (3) 2004-01-18 2006-01-24 2006-01-24
- NEP-FOR: Forecasting (2) 2007-01-23 2008-06-21
- NEP-MAC: Macroeconomics (2) 2007-01-23 2008-06-27
- NEP-CBA: Central Banking (1) 2008-06-27
- NEP-CMP: Computational Economics (1) 2001-12-19
- NEP-IFN: International Finance (1) 2004-01-18
- NEP-MON: Monetary Economics (1) 2008-06-27
- NEP-ORE: Operations Research (1) 2011-07-13
- NEP-URE: Urban and Real Estate Economics (1) 2007-05-26
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