Gorgi, P. and Koopman, \S.J.\ (2023). Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects Journal of Econometrics, 237(2):1--21.
225 Key Publications
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Almeida, C., Fan, J., Freire, G. and Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3):995--1009. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112. -
He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177. -
Blasques, F., Harvey, \A.C.\, Koopman, \S.J.\ and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):1--3. -
Blasques, F., \van Brummelen\, J., Koopman, \.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346. -
Juodis, A. and Sarafidis, V. (2022). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, 229(1):19--54. -
\De Luca\, G., Magnus, \JanR.\ and Peracchi, F. (2022). Sampling properties of the Bayesian posterior mean with an application to WALS estimation Journal of Econometrics, 230(2):299--317. -
Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205. -
Juodis, A. and Reese, S. (2022). The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation Journal of Business and Economic Statistics, 40(3):1191--1203. -
Juodis, A. and Sarafidis, V. (2022). A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors Journal of Business and Economic Statistics, 22(1):1--15. -
Wan, P. and Davis, R. (2022). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, 227(1):4--24. -
Böhm, H., Schaumburg, J. and Tonzer, L. (2022). Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe IMF Economic Review, 70(4):698--734. -
Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810. -
Ikefuji, M., Laeven, \RogerJ.A.\, Magnus, \JanR.\ and Yue, Y. (2022). Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities Journal of the American Statistical Association, 117(537):82--93. -
Blasques, F., Koopman, \.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84. -
Li, M. and Koopman, S. (2021). Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction Journal of Applied Econometrics, 36(5):614--627. -
Juodis, A., Karabiyik, H. and Westerlund, J. (2021). On the robustness of the pooled CCE estimator Journal of Econometrics, 220(2):325--348. -
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180.