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Home | Alumni | Key Alumni Publications

Alumni types

Year

624 key alumni publications

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  • 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.
  • Harvey, A. and Koopman, S. (2000). Signal Extraction and the Formulation of Unobserved Components Models Econometrics Journal, 3:84--107.
  • Franses, P.H. and Taylor, A. (2000). Determining the order of differencing in seasonal time series processes Econometrics Journal, 3(2):250--264.
  • Pels, E., Nijkamp, P. and Rietveld, P. (2000). Airport and Airline Competition for Passengers Departing from a Large Metropolitan Area Journal of Urban Economics, 48:29--45.
  • Koopman, S. and Durbin, J. (2000). Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives Journal of the Royal Statistical Society. Series B. Statistical Methodology, 62:3--56.
  • Lindeboom, M. and Kerkhofs, M. (2000). Multistate models for clustered duration data - An application to workplace effects on individual sickness absenteeism Review of Economics and Statistics, 82(4):668--684.
  • 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.
  • Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.
  • Hobijn, B. and Franses, P.H. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.
  • Paap, R. and Franses, P.H. (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.
  • 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.
  • Verhoef, E., Rouwendal, J. and Rietveld, P. (1999). Congestion caused by speed differences Journal of Urban Economics, 45:533--556.
  • van Ommeren, J.N., Rietveld, P. and Nijkamp, P. (1999). Job Moving, Residential Moving, and Commuting: A Search Perspective. Journal of Urban Economics, 46(3):230--253.
  • Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315.
  • van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.
  • 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.
  • van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
  • Swank, O., Peletier, B. and Dur, R. (1999). Voting on the budget deficit: comment American Economic Review, (89):1377--1381.
  • 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.