DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2026). Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter Journal of Business and Economic Statistics.
35 Key Publications
filtered by:
-
-
de Bruijn, E.J., Vethaak, H., Koning, P. and Knoef, M. (2026). Welfare debt relief: Impact on employment, benefit receipt, and mental health Journal of Public Economics, 260:1--13. -
De Vos, I. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253. -
Douenne, T., Hummel, A.J. and Pedroni, M. (2026). Optimal Fiscal Policy in a Climate-Economy Model with Heterogeneous Households Economic Journal. -
Koning, N. (2026). Measuring Evidence against Exchangeability and Group Invariance with E-values Annals of Statistics. -
Terovitis, S. and Vladimirov, V. (2026). How Financial Markets Create Superstars Review of Financial Studies. -
Henkel, L. and Pugnaghi-Zimpelmann, C. (2026). Proud to Not Own Stocks: How Identity Shapes Financial Decisions Review of Financial Studies. -
Nolde, N., Zhou, C. and Zhou, M. (2026). Tail risk in the tail: Estimating high quantiles when a related variable is extreme Journal of the American Statistical Association. -
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600. -
Sloof, R., Beetsma, R. and Steinweg, A. (2026). Debt Ceilings with Fiscal Intransparency and Imperfect Electoral Accountability International Economic Review, 67(1):97--125. -
Klein Teeselink, B., van Dolder, D., van den Assem, MartijnJ. and Dana, JasonD. (2026). High-Stakes Failures of Backward Induction Games and Economic Behavior, 157:418--439.
-
van der Wel, M. and Zhang, Y. (2026). Global evidence on unspanned macro risks in dynamic term structure models Journal of Banking and Finance, 185.
-
Capera Romero, L. and Opschoor, A. (2026). Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment Journal of Applied Econometrics. -
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253. -
Johannes, M., Seeger, NormanJ. and Stroud, JonathanR. (2026). Time-varying macroeconomic announcement risk Journal of Econometrics, 254:1--23.