He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578.
25 Key Publications
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Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):. -
De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):. -
Boswijk, H.Peter, Laeven, RogerJ.A. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):. -
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, :. -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
Frazier, DavidT., Renault, E., Zhang, L. and Zhao, X. (2024). Weak Identification in Discrete Choice Models Journal of Econometrics, :. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2):. -
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
Camehl, A., Fok, D. and Gruber, K. (2024). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, :. -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Naghi, AndreaA., O'Neill, E. and Danielova Zaharieva, M. (2024). The benefits of forecasting inflation with machine learning: New evidence Journal of Applied Econometrics, 39(7):1321--1331. -
Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1):. -
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):. -
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29. -
Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2):. -
Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):. -
Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :. -
Opschoor, D. and van der Wel, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :.