179 Key Publications

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  Broda, S., Haas, M., Krause, J., Paolella, M., and Steude, S. (2013). Stable mixture garch models. Journal of Econometrics, 172(2):292-306.

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  Bataa, E., Osborn, D., Sensier, M., and van Dijk, D. (2013). Structural breaks in the international dynamics of inflation. Review of Economics and Statistics, 95(2):646-659.

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  Bilio, M., Casarin, R., Ravazzolo, F., and van Dijk, H. (2013). Time-varying combinations of predictive densities using nonlinear filtering. Journal of Econometrics, 177(2):213-232.

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  de Haan, L., de Vries, C., and Zhou, C. (2013). The number of active bidders in internet auctions. Journal of Economic Theory, 148(4):1726-1736.

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  Groen, J., Paap, R., and Ravazzolo, F. (2013). Real-time inflation forecasting in a changing world. Journal of Business and Economic Statistics, 31(1):29-44.

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  Lumsdaine, R. and Exterkate, A. (2013). How survey design affects self-assessed health responses in the survey of health. European Economic Review, 63:299-307.

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  Pesaran, M., Pick, A., and Pranovich, M. (2013). Optimal forecasts in the presence of structural breaks. Journal of Econometrics, 177(2):134-152.

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  Strachan, R. and van Dijk, H. (2013). Evidence on features of a DSGE business cycle model from Bayesian model averaging. International Economic Review, 54(1):385-402.

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  Timmerman, A. and van Dijk, H. (2013). Dynamic econometric modeling and forecasting in the presence of instability. Journal of Econometrics, 177(2):131-133.

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  Hoogerheide, L., Opschoor, A., and van Dijk, H. (2012e). A class of adaptive importance sampling weighted em algorithms for efficient and robust posterior and predictive simulation. Journal of Econometrics, 171(2):101-120.

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  Guggenberger, P., Kleibergen, F., Mavroeidis, S., and Chen, L. (2012). On the asymptotic sizes of subset anderson-rubin and lagrange multiplier tests in linear instrumental variables regression. Econometrica, 80(6):2649-2666.

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  Hoogerheide, L., Ravazzolo, F., and van Dijk, H. (2012f). Comment on forecast rationality tests based on multi-horizon bounds. Journal of Business and Economic Statistics, 30(1):30-33.

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  Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series. Journal of Business & Economic Statistics, 30(3):351-357.

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  Koopman, S., Lucas, A., and Schwaab, B. (2012). Dynamic factor models with macro, frailty and industry effects for U.S. default counts: The credit crisis of 2008. Journal of Business and Economic Statistics, 30(4):521-532.

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  Fok, D., Paap, R., and van Dijk, A. (2012b). A rank-ordered logit model with unobserved heterogeneity in ranking capabilities. Journal of Applied Econometrics, 27(5):831-846.

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  Geweke, J., Koop, G., and Paap, R. (2012). Editorial introduction for the Annals issue of the Journal of Econometrics on Bayesian models, methods and applications. Journal of Econometrics, 171(2):99-100.

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  Hoogerheide, L., Ravazzolo, F., and van Dijk, H. (2012g). Forecast rationality tests based on multi-horizon bounds: Comment. Journal of Business and Economic Statistics, 30(1):30-33.

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  van Ophem, H. (2011). The frequency of visiting a doctor: is the decision to go independent of the frequency? Journal of Applied Econometrics, 26(5):872-879.

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  Koopman, S., Lucas, A., and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates. Journal of Econometrics, 162(2):312-325.

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  Creal, D., Koopman, S., and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations. Journal of Business and Economic Statistics, 29(4):552-563.