Boswijk, H.Peter, Laeven, RogerJ.A. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):.
49 Key Publications
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Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, :. -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):. -
Frazier, DavidT., Renault, E., Zhang, L. and Zhao, X. (2024). Weak Identification in Discrete Choice Models Journal of Econometrics, :. -
Can, S., Laeven, R. and Einmahl, JohnH.J. (2024). Two-Sample Testing for Tail Copulas with an Application to Equity Indices Journal of Business and Economic Statistics, 42(1):. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2):1--17. -
Rezaei, S., Rosenkranz, S., Weitzel, U. and Westbrock, B. (2024). Social preferences on networks Journal of Public Economics, 234:1--28. -
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578.