311 Key Publications

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  Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22.
• Ikefuji, M., Magnus, JanR. and Yamagata, T. (2024). Revealing priors from posteriors with an application to inflation forecasting in the UK Econometrics Journal, 27(1):151--170.

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  Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1).

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  Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2).

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  DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917.

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  Tommasi, D. and Zhang, L. (2024). Identifying program benefits when participation is misreported Journal of Applied Econometrics, 39(6):1123--1148.

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  Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1).

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  Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.

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  Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14.

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  De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1).

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  Boswijk, H., Laeven, R. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1).

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  Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849.

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  D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2).

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  Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2).
• Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.
• Koning, N. and Hemerik, J. (2024). More efficient exact group invariance testing: using a representative subgroup Biometrika, 111(2):441--458.
• Koning, N. (2024). More power by using fewer permutations Biometrika, 111(4):1405--1412.

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  Borsch, M., Mayer, A. and Wied, D. (2024). Consistent Estimation of Multiple Breakpoints in Dependence Measures Journal of Business and Economic Statistics, 42(2):695--706.
• Gorgi, P., Lauria, C.S.A. and Luati, A. (2024). On the optimality of score-driven models Biometrika, 111(3):865--880.
• Hemerik, J., Solari, A. and Goeman, JelleJ. (2024). Flexible control of the median of the false discovery proportion Biometrika, 111(4):1129--1150.