296 Key Publications

• 

  Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2).

• 

  DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917.

• 

  Tommasi, D. and Zhang, L. (2024). Identifying program benefits when participation is misreported Journal of Applied Econometrics, 39(6):1123--1148.

• 

  Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(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):1--23.

• 

  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.

• 

  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.

• 

  De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1).

• 

  Boswijk, H., Laeven, R. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1).

• 

  Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849.

• 

  D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2).

• 

  Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2).
• Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.
• Koning, N. and Hemerik, J. (2024). More efficient exact group invariance testing: using a representative subgroup Biometrika, 111(2):441--458.
• Koning, N. (2024). More power by using fewer permutations Biometrika, 111(4):1405--1412.

• 

  Borsch, M., Mayer, A. and Wied, D. (2024). Consistent Estimation of Multiple Breakpoints in Dependence Measures Journal of Business and Economic Statistics, 42(2):695--706.
• Gorgi, P., Lauria, C.S.A. and Luati, A. (2024). On the optimality of score-driven models Biometrika, 111(3):865--880.
• Hemerik, J., Solari, A. and Goeman, JelleJ. (2024). Flexible control of the median of the false discovery proportion Biometrika, 111(4):1129--1150.

• 

  Menkveld, AlbertJ., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Weitzel, U., Abad-Diaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, JamieT., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, JamesJ., Avetikian, AlejandroT., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, ParampreetC., Bjønnes, GeirH., Black, JeffreyR., Black, BernhardS., Bogoev, D., Bohorquez Correa, S., Bondarenko, O., Bos, CharlesS., Bosch-Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera Romero, LauraM., Mazzola, F., van Dijk, M., Verwijmeren, P., Vogel, S., Wagner, W., van der Wel, M., Yang, A. and Zhou, C. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390.

• 

  Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21.