Opschoor, D. and \van der Wel\, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :.
224 Key Publications
filtered by:
-
-
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):. -
Lange, R. and Teulings, \.(. (2024). Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming Journal of Economic Theory, 215:. -
Gorgi, P., Koopman, \.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23. -
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29. -
Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2):. -
\De Vos\, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):. -
Boswijk, \H.Peter\, Laeven, \RogerJ.A.\ and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):. -
Ahmed, H., Einmahl, \JohnH.J.\ and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304. -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):. -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2):. -
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578. -
Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187. -
He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177. -
Blasques, F., Harvey, \A.C.\, Koopman, \S.J.\ and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):1--3. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Kole, E. and \van Dijk\, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):. -
Gorgi, P. and Koopman, \S.J.\ (2023). Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects Journal of Econometrics, 237(2):1--21.