Ruseckaite, A., Fok, D. and Goos, P. (2020). Flexible Mixture-Amount Models Using Multivariate Gaussian Processes Journal of Business and Economic Statistics, 38(2):257--271.
210 Key Publications
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Friedrich, M., Smeekes, S. and Urbain, J.P. (2020). Autoregressive wild bootstrap inference for nonparametric trends Journal of Econometrics, 214(1):81--109. -
Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models Journal of Applied Econometrics, 35(1):19--45. -
de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279. -
Karabiyik, H., Palm, FranzC. and Urbain, J.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522. -
Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555. -
Karabiyik, H., Urbain, J.P. and Westerlund, J. (2019). CCE estimation of factor-augmented regression models with more factors than observables Journal of Applied Econometrics, 34(2):268--284. -
De Luca, G., Magnus, JanR. and Peracchi, F. (2019). Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right” Journal of Business and Economic Statistics, 37(2):217--222. -
Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42. -
Christensen, B. and van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models Journal of Financial Economics, 134(1):165--191. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376. -
Wang, W., Zhang, X.(. and Paap, R. (2019). To pool or not to pool: What i?s a good strategy for parameter estimation and forecasting in panel regressions? Journal of Applied Econometrics, 34(5):724--745. -
Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425. -
van Oordt, M. and Zhou, C. (2019). Systemic risk and bank business models Journal of Applied Econometrics, 34(3):365--384. -
He, Y., Hou, Y., Peng, L. and Sheng, J. (2019). Statistical Inference for a Relative Risk Measure Journal of Business and Economic Statistics, 37(2):301--311. -
Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266. -
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54. -
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. -
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. -
De Luca, G., Magnus, JanR. and Peracchi, F. (2018). Weighted-average least squares estimation of generalized linear models Journal of Econometrics, 204(1):1--17.