De Luca, G., Magnus, JanR. and Peracchi, F. (2022). Sampling properties of the Bayesian posterior mean with an application to WALS estimation Journal of Econometrics, 230(2):299--317.
210 Key Publications
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Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2022). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 0(0):0--15. -
Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2022). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 0(0):0--15. -
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2022). Dynamic clustering of multivariate panel data Journal of Econometrics, :. -
Böhm, H., Schaumburg, J. and Tonzer, L. (2022). Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe IMF Economic Review, :. -
Blasques, F., Francq, C. and Laurent, S. (2022). Quasi score-driven models Journal of Econometrics, :. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2022). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, :. -
Almeida, C., Fan, J., Freire, G. and Tang, F. (2022). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 0(0):1--15. -
Almeida, C., Fan, J., Freire, G. and Tang, F. (2022). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 0(0):1--15. -
de Haan, L. and Zhou, C. (2022). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 00(0):. -
de Haan, L. and Zhou, C. (2022). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 00(0):. -
Friedrich, M. and Lin, Y. (2022). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, :. -
Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810. -
Juodis, A. (2022). A regularization approach to common correlated effects estimation Journal of Applied Econometrics, 37(4):788--810. -
He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :. -
Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84. -
Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205. -
Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205. -
Lumsdaine, R., Okui, R. and Wang, W. (2022). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, :. -
Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.