معرفی
Siem Jan Koopman is a Full Professor of Econometrics at the Department of Econometrics, School of Business and Economics, Vrije Universiteit Amsterdam. He is also a Research Fellow at the Tinbergen Institute and holds a long-term Visiting Professor position at CREATES, University of Aarhus. His academic career includes positions at the London School of Economics and CentER (Tilburg University), with long-term visits at the US Bureau of the Census, European University Institute, and European Central Bank.
Dr. Koopman earned his PhD in Statistics from The London School of Economics and Political Science between 1989 and 1992, with his degree awarded on March 30, 1992.
Professor Koopman's research spans several interconnected areas of econometrics, with a particular focus on time series analysis. His work centers on state space methods, score-driven time-varying parameter models (GAS models), and dynamic factor models. He has made significant contributions to the fields of financial econometrics, forecasting methodologies, and simulation-based estimation techniques. His research bridges theoretical developments with practical applications across economics, finance, and climate science, demonstrating the versatility of econometric methods in addressing complex real-world problems. Koopman's work often involves developing innovative statistical approaches to model time-varying parameters and extract meaningful signals from noisy data.
His recent publications reveal a continued emphasis on advancing methodological frameworks for time series analysis, with increasing applications to climate modeling and environmental economics. There's a clear trajectory toward more sophisticated modeling of nonlinear dynamics, volatility, and interdependencies in economic and financial systems. His work increasingly bridges econometrics with climate science, particularly in analyzing CO2 emissions, climate variability, and the economic impacts of natural disasters.
- Journal of Applied Econometrics Distinguished Author
- Fellow of the Society of Financial Econometrics (SoFiE)
Professor Koopman has supervised 30 PhD theses, demonstrating his significant contribution to mentoring the next generation of econometricians. His research has been supported by multiple competitive grants including the Labex Louis Bachelier grant from the Institut Europlace de Finance, research grants from the National Bank of Poland, and the VILLUM Visiting Professor Programme grant from the Velux Foundation. These grants have supported work on portfolio allocation, interest rate forecasting, and systemic risk analysis.
As a Statistical Software Developer, Koopman has created and maintained important econometric tools including STAMP and SsfPack, which are widely used in academic and professional settings for time series analysis. These software packages implement state space methods and have become standard tools in the field of econometrics.
