Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915.
28 key alumni publications
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Aït-Sahalia, Y., Laeven, R. and Pelizzon, L. (2014). Mutual excitation in Eurozone sovereign CDS Journal of Econometrics, 183(2):151--167. -
Scholtus, M.(., van Dijk, D. and Frijns, B. (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements Journal of Banking and Finance, 38:89--105.
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Mesters, G. and Koopman, S. (2014). Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time Journal of Econometrics, 180(2):127--140. -
Sebastian Buhai (2014). Returns to Tenure or Seniority? Econometrica.
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de Haan, M., Plug, E. and Rosero, J. (2014). Birth order and human capital development: evidence from Ecuador Journal of Human Resources, 49(2):359--392. -
Jungbacker, B., Koopman, S. and van der Wel, M. (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates Journal of Applied Econometrics, 29(1):65--90. -
Menkveld, A. and Hendershott, T. (2014). Price Pressures Journal of Financial Economics, 114(3):405--423.