27 Key Publications

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  Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1).
• Ikefuji, M., Magnus, JanR. and Yamagata, T. (2024). Revealing priors from posteriors with an application to inflation forecasting in the UK Econometrics Journal, 27(1):151--170.

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  de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.

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  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).

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  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.
• Hemerik, J., Solari, A. and Goeman, JelleJ. (2024). Flexible control of the median of the false discovery proportion Biometrika, 111(4):1129--1150.

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  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).