Koopman, S., Lucas, A. and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models Review of Economics and Statistics, 98(1):97--110.
112 Key Publications
filtered by:
-
-
Grundy, B. and Verwijmeren, P. (2016). Disappearing Call Delay and Dividend-Protected Convertible Bonds The Journal of Finance, 71(1):195--223. -
Hillert, A., Maug, E. and Obernberger, S. (2016). Stock repurchases and liquidity Journal of Financial Economics, 119(1):186--209. -
Korteweg, A., Kraussl, R. and Verwijmeren, P. (2016). Does it pay to invest in art? A selection-corrected returns perspective Review of Financial Studies, 29(4):1007--1038. -
Seeger, N., Rodrigues, P. and Ignatieva, K. (2015). Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices Journal of Business and Economic Statistics, 33(1):68--75. -
van Dolder, D., van den Assem, M.J., Camerer, C. and Thaler, R. (2015). Standing United or Falling Divided? High Stakes Bargaining in a TV Game Show American Economic Review, 105(5):402--407. -
Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127. -
Degeorge, F., Martin, J. and Phalippou, L. (2015). On Secondary Buyouts Journal of Financial Economics, :. -
Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R. (2015). Modeling financial contagion using mutually exciting jump processes Journal of Financial Economics, 117(3):585--606. -
Vladimirov, V. (2015). Financing bidders in takeover contests Journal of Financial Economics, 117(3):534--557. -
Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284. -
Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915. -
Aït-Sahalia, Y., Laeven, R. and Pelizzon, L. (2014). Mutual excitation in Eurozone sovereign CDS Journal of Econometrics, 183(2):151--167. -
Alfaro, L., Kalemli-Ozcan, S. and Volosovych, V. (2014). Sovereigns, Upstream Capital Flows and Global Imbalances Journal of the European Economic Association, 12(5):1240--1284. -
Menkveld, A. and Hendershott, T. (2014). Price Pressures Journal of Financial Economics, 114(3):405--423. -
Peters, F. and Wagner, A. (2014). The executive turnover risk premium The Journal of Finance, 69(4):1529--1563. -
Kalemli-Ozcan, S., Sorensen, B. and Volosovych, V. (2014). Deep Financial Integration and Volatility Journal of the European Economic Association, 12(6):1558--1585. -
Szymanowska, M., de Roon, F.A., Nijman, T. and van den Goorbergh, R. (2014). An Anatomy of Commodity Futures Risk Premia The Journal of Finance, 69(1):453--482. -
Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795. -
Eiling, E. (2013). Industry-Specific Human Capital, Idiosyncratic Risk and the Cross-Section of Expected Stock Returns The Journal of Finance, 68(1):43--84.