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18 key alumni publications

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  • Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

  • Aastveit, K.A., Ravazzolo, F. and H.K. van Dijk (2018). Combined Density Nowcasting in an Uncertain Economic Environment Journal of Business and Economic Statistics, 36(1):131-145.

  • Hu, A., Offerman, T. and Zou, L. (2018). How risk sharing may enhance efficiency of English auctions Economic Journal, 128(610):1235--1256.
  • Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.

  • Marcos Poplawski Ribeiro (2018). The Slowdown in Global Trade: A Symptom of a Weak Recovery? IMF Economic Review.
  • Baillon, A. and Emirmahmutoglu, A. (2018). Zooming in on ambiguity attitudes International Economic Review, 59(4):.
  • Boot, T. and Pick, A. (2018). Optimal forecasts from Markov switching models Journal of Business and Economic Statistics, 36(4):628--642.
  • Keijsers, B., Diris, B. and Kole, E. (2018). Cyclicality in losses on bank loans Journal of Applied Econometrics, 33(4):533--552.
  • Muller, P., van der Klaauw, B., Gautier, P., Rosholm, M. and Svarer, M. (2018). Estimating equilibrium effects of job search assistance Journal of Labor Economics, 36(4):1073--1125.

  • Francesco Ravazzolo (2018). Bayesian Nonparametric Calibration and Combination of Predictive Distributions Journal of the American Statistical Association, 113(522}:675-685.
  • Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.

  • Xianhua Hu (2018). English auctions with ensuing risks and heterogeneous bidders Journal of Mathematical Economics.
  • Weber, M., Duffy, J. and Schram, A. (2018). An Experimental Study of Bond Market Pricing The Journal of Finance, 73(4):1857--1892.
  • Cheshire, P., Hilber, ChristianA.L. and Koster, HansR.A. (2018). Empty homes, longer commutes: The unintended consequences of more restrictive local planning Journal of Public Economics, 158(2):126--151.
  • Baillon, A., Huang, Z., Selim, A.(. and Wakker, P. (2018). Measuring Ambiguity Attitudes for All (Natural) Events Econometrica, 86(5):1839--1858.
  • Juodis, A. (2018). Pseudo Panel Data Models With Cohort Interactive Effects Journal of Business and Economic Statistics, 36(1):47--61.
  • van Bekkum, S., Irani, R. and Gabarro Bonet, M. (2018). Does a Larger Menu Increase Appetite? Collateral Eligibility and Credit Supply Review of Financial Studies, 31(3):2855--2896.

  • Frank Windmeijer (2018). On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments Journal of the American Statistical Association.