van Os, B. and van Dijk, D. (2026). Dynamic Conditional Correlations with Partial Information Pooling Journal of Business and Economic Statistics, 44(1):309--320.
296 Key Publications
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Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253. -
De Vos, I. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253. -
de Punder, RamonF.A., Diks, CeesG.H., Laeven, RogerJ.A. and van Dijk, DickJ.C. (2026). Localizing Strictly Proper Scoring Rules Journal of the American Statistical Association. -
Moussa, K., Blasques, F. and Koopman, S.J. (2026). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression Journal of Business and Economic Statistics. -
De Vos, I. and Stauskas, O. (2026). Cross-Section Bootstrap for CCE Regressions with General Unknown Factors Journal of Business and Economic Statistics. -
van der Wel, M. and Zhang, Y. (2026). Global evidence on unspanned macro risks in dynamic term structure models Journal of Banking and Finance, 185.
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Lange, R.J., van Os, B. and van Dijk, D. (2026). Implicit score-driven filters for time-varying parameter models Journal of Econometrics, 255. -
Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21. -
Mayer, A. and Massmann, M. (2026). Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience Journal of Business and Economic Statistics, 44(1):334--347. -
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2026). Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter Journal of Business and Economic Statistics. -
Koning, N. (2026). Measuring Evidence against Exchangeability and Group Invariance with E-values Annals of Statistics. -
Nolde, N., Zhou, C. and Zhou, M. (2026). Tail risk in the tail: Estimating high quantiles when a related variable is extreme Journal of the American Statistical Association. -
Wan, P. (2026). Characterizing extremal dependence on a hyperplane Biometrika, 113(2).
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Camehl, A. and von Schweinitz, G. (2026). What Explains International Interest Rate Co-Movement? Journal of Applied Econometrics, 41(4):343--359. -
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600. -
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association. -
Opschoor, D. and van der Wel, M. (2025). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, 43(2):298--311. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248. -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249.