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30 key alumni publications

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  • Van Kervel, V. and Menkveld, AlbertJ. (2019). High-Frequency Trading around Large Institutional Orders The Journal of Finance, 74(3):1091--1137.
  • Baltussen, G., van Bekkum, S. and Da, Z. (2019). Indexing and Stock Market Serial Dependence Around the World Journal of Financial Economics, 132(1):26--48.
  • Boot, T. and Pick, A. (2019). Does modeling a structural break improve forecast accuracy? Journal of Econometrics, :.
  • Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42.
  • Christensen, B.J. and van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models Journal of Financial Economics, 134(1):165--191.
  • Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.
  • Koster, HansR.A. and van Ommeren, J. (2019). Place-based policies and the housing market Review of Economics and Statistics, 101(3):400--414.
  • Wang, W., Zhang, X and Paap, R. (2019). To pool or not to pool: What is a good strategy for parameter estimation and forecasting in panel regressions? Journal of Applied Econometrics, 34(5):724--745.
  • Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, :.
  • van Oordt, M. and Zhou, C. (2019). Systemic risk and bank business models Journal of Applied Econometrics, 34(3):365--384.