Geweke, J., Koop, G. and Paap, R. (2012). Editorial Introduction for the Annals Issue of the Journal of Econometrics on Bayesian Models, Methods and Applications Journal of Econometrics, 171(2):99--100.
221 Key Publications
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Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series Journal of Business and Economic Statistics, 30(3):351--357. -
Koopman, S., Lucas, A. and Schwaab, B. (2012). Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 Journal of Business and Economic Statistics, 30(4):521--532. -
Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325. -
Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563. -
Boswijk, H. and \van der Weide\, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126. -
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318. -
Diks, C., Panchenko, V. and \van Dijk\, D. (2011). Likelihood-based scoring rules for comparing density forecasts in tails Journal of Econometrics, 163(2):215--230. -
Beauchamp, \JonathanP.\, Cesarini, D., Johannesson, M., \Van Der Loos\, \MatthijsjH.M.\, Koellinger, \PhilippD.\, Patrick, \J.F.Groenen\, Fowler, \JamesH.\, Rosenquist, \J.Niels\, Thurik, \A.Roy\ and Christakis, \NicholasA.\ (2011). Molecular genetics and economics Journal of Economic Perspectives, 25(4):57--82. -
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187. -
Boswijk, H., Franses, P. and \van Dijk\, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159. -
Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter Journal of Applied Econometrics, 25:695--719. -
Koopman, S., Mallee, M. and \van der Wel\, M. (2010). Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters Journal of Business and Economic Statistics, 28:329--343. -
Boswijk, H., Franses, P. and \van Dijk\, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2. -
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173. -
Sandor, \.(. and Franses, \.H. (2009). Consumer Price Evaluations Through Choice Experiments Journal of Applied Econometrics, 24(3):517--535. -
Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311. -
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339. -
Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11. -
Paap, R., Segers, R. and \van Dijk\, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.