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Home | Alumni | Key alumni publications

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446 key alumni publications

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  • Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
  • Bos, CharlesS., Mahieu, RonaldJ. and Van Dijk, HermanK. (2000). Daily exchange rate behaviour and hedging of currency risk Journal of Applied Econometrics, 15(6):671--696.
  • Hobijn, B. and Franses, P.H.B.F. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.
  • Paap, R. and Franses, P.H.B.F. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744.
  • Plug, E., van Praag, B.M.S. and Hartog, J. (1999). If we knew ability, how would we tax individuals? Journal of Public Economics, 72(2):183--211.
  • Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166.
  • Paul den Hek (1999). On endogenous growth under uncertainty International Economic Review.

  • Franses, P.H.B.F., Kloek, T. and Lucas, A. (1999). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89:293--315.
  • Swank, O.H., Peletier, B.D. and Dur, A.J. (1999). Voting on the budget deficit: comment American Economic Review, (89):1377--1381.
  • van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
  • van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.
  • Martens, M., Kofman, P. and Vorst, A. (1998). A Threshold Error Correction Model for Intraday Futures and Index Returns Journal of Applied Econometrics, 13(3):245--263.
  • van den Berg, G.J. and Lindeboom, M. (1998). Attrition in panel survey data and the estimation of multi-state labor market models Journal of Human Resources, 33(2):458--478.
  • Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
  • Emmerink, R., Verhoef, E., Nijkamp, P. and Rietveld, P. (1998). Information Effects in Transport with Stochastic Capacity and Uncertainty Costs International Economic Review, 39(1):89--110.
  • Franses, P.H.B.F. and Vogelsang, T.J. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240.
  • Franses, P.H.B.F. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.
  • Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80(1):167--193.
  • Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368.
  • Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422.