
Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics, 192(1):64--85.
Roy Kouwenberg (2016). Ambiguity aversion and household portfolio choice puzzles: Empirical evidence Journal of Financial Economics.
Francesco Ravazzolo (2016). Optimal Portfolio Choice Under Decision-Based Model Combinations Journal of Applied Econometrics.
Yang Zu (2015). Nonparametric specification tests for stochastic volatility models based on volatility density Journal of Econometrics.
Xianhua Hu (2015). Sequential auctions, price trends, and risk preferences Journal of Economic Theory.