117 Key Publications

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  Markiewicz, A.P. and Lansing, K.L. (2017). Top Incomes, Rising Inequality, and Welfare Economic Journal, 138(608):262--297.

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  Opschoor, A., van Dijk, D.J.C. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.

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  Andonov, A., Bauer, R. and Cremers, M. (2017). Pension Fund Asset Allocation and Liability Discount Rates Review of Financial Studies, 30(8):2555--2595.

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  Mancini, L., Ranaldo, A. and Wrampelmeyer, J. (2016). The euro interbank repo market Review of Financial Studies, 29(7):1747--1779.

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  Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

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  Baltussen, G., van den Assem, M.J. and van Dolder, D. (2016). Risky Choice in the Limelight Review of Economics and Statistics, 98(2):318--332.

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  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.

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  Grundy, B. and Verwijmeren, P. (2016). Disappearing Call Delay and Dividend-Protected Convertible Bonds The Journal of Finance, 71(1):195--223.

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  Hillert, A., Maug, E. and Obernberger, S. (2016). Stock repurchases and liquidity Journal of Financial Economics, 119(1):186--209.

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  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.

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  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.

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  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.

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  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.

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  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.

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  Vladimirov, V. (2015). Financing bidders in takeover contests Journal of Financial Economics, 117(3):534--557.

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  Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284.

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  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.

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  Aït-Sahalia, Y., Laeven, R. and Pelizzon, L. (2014). Mutual excitation in Eurozone sovereign CDS Journal of Econometrics, 183(2):151--167.

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  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.

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  Menkveld, A. and Hendershott, T. (2014). Price Pressures Journal of Financial Economics, 114(3):405--423.