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13 key alumni publications

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  • Giordani, P., Kohn, R. and van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics, 137(1):112--133.
  • Visser, B. and Swank, O. (2007). On committees of experts Quarterly Journal of Economics, 122(1):337--372.
  • Janssen, M.(. and Karamychev, V. (2007). Selection effects in auctions for monopoly rights Journal of Economic Theory, 134:576--582.
  • Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.
  • Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27.
  • Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207.
  • Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.
  • Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks Journal of Econometrics, 139(1):154--180.

  • Francesco Lippi (2007). Information variables for monetary policy in an estimated structural model of the euro area Journal of Monetary Economics.
  • Maximiano, S., Sloof, R. and Sonnemans, J. (2007). Gift exchange in a multi-worker firm Economic Journal, 117(522):1025--1050.
  • Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.
  • Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.
  • Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.