Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.
181 Key Publications
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Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2020). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, 116:283--297. -
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Muris, C. (2020). Expected utility and catastrophic risk in a stochastic economy-climate model Journal of Econometrics, 214(1):110--129. -
De Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, accepted:. -
Juodis, A., Karabiyik, H. and Westerlund, J. (2020). On the robustness of the pooled CCE estimator Journal of Econometrics, :. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2020). Missing observations in observation-driven time series models Journal of Econometrics, :. -
Einmahl, J., Yang, F and Zhou, C. (2020). Testing the multivariate regular variation model Journal of Business and Economic Statistics, accepted:. -
Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481. -
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66. -
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550. -
Hecq, A., Issler, J.V. and Telg, S. (2020). Mixed causal–noncausal autoregressions with exogenous regressors Journal of Applied Econometrics, 35(3):328--343. -
Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :. -
Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372. -
Karabiyik, H., Urbain, J.P. and Westerlund, J. (2019). CCE estimation of factor-augmented regression models with more factors than observables Journal of Applied Econometrics, 34(2):268--284. -
De Luca, G., Magnus, JanR. and Peracchi, F. (2019). Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right” Journal of Business and Economic Statistics, 37(2):217--222. -
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. -
Okui, R. and Wang, W. (2019). Heterogeneous structural breaks in panel data models Journal of Econometrics, :. -
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.