Juodis, A. and Sarafidis, V. (2022). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, 229(1):19--54.
104 key alumni publications
filtered by:
-
-
Fan, Z., Londono, J. and Xiao, X. (2022). Equity tail risk and currency risk premiums Journal of Financial Economics, 143(1):484--503.
-
Brands, D., Klingen, J. and Ostermeijer, F. (2022). Hands on the wheel, eyes on the phone: The effect of smartphone usage fees on road safety European Economic Review, 146:1--23.
-
Bindler, A. and Ketel, N. (2022). Scaring or Scarring? Labor Market Effects of Criminal Victimization Journal of Labor Economics, 40(4):939--970.
-
Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810.
-
Perotti, E. and Rola-Janicka, M. (2022). The Good, the Bad and the Missed Boom Review of Financial Studies, 35(11):5025–5056.
-
Juodis, A. and Sarafidis, V. (2022). A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors Journal of Business and Economic Statistics, 22(1):1--15.
-
Juodis, A. and Reese, S. (2022). The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation Journal of Business and Economic Statistics, 40(3):1191--1203.
-
Huang, W., Menkveld, AlbertJ. and Yu, S. (2021). Central counterparty exposure in stressed markets Management Science, 67(6):3596--3617.
-
Pelzl, P. and Poelhekke, S. (2021). Good mine, bad mine: Natural resource heterogeneity and Dutch disease in Indonesia Journal of International Economics, 131:1--21.
-
Baltussen, G., Swinkels, L. and Van Vliet, P. (2021). Global factor premiums Journal of Financial Economics, 142(3):1128--1154.
-
Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2021). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, 39(4):1066--1079.
-
Oosterbeek, H., Sóvágó, S. and van der Klaauw, B. (2021). Preference heterogeneity and school segregation Journal of Public Economics, 197:1--26.
-
Gryglewicz, S., Mayer, M. and Morellec, E. (2021). Optimal financing with tokens Journal of Financial Economics, 142(3):1038--1067.
-
Baltussen, G., Da, Z., Lammers, S. and Martens, M. (2021). Hedging Demand and Market Intraday Momentum Journal of Financial Economics, :.
-
Juodis, A., Karabiyik, H. and Westerlund, J. (2021). On the robustness of the pooled CCE estimator Journal of Econometrics, 220(2):325--348.
-
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.
-
Bräuning, F. and Koopman, S.J. (2020). The dynamic factor network model with an application to international trade Journal of Econometrics, 216(2):494--515.
-
Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.
-
Li, Z., Laeven, R. and Vellekoop, M. (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data Journal of Econometrics, 215(2):536--558.