171 Key Publications

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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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  Koudijs, P. (2015). Those who know most: Insider trading in eighteenth-century Amsterdam Journal of Political Economy, 123(6):1356--1409.

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  Buch, C., Buchholz, M. and Tonzer, L. (2015). Uncertainty, Bank Lending, and Bank-Level Heterogeneity IMF Economic Review, 63(4):919--954.

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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.

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  Peters, F. and Wagner, A. (2014). The executive turnover risk premium The Journal of Finance, 69(4):1529--1563.

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  Kalemli-Ozcan, S., Sorensen, B. and Volosovych, V. (2014). Deep Financial Integration and Volatility Journal of the European Economic Association, 12(6):1558--1585.

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  Szymanowska, M., de Roon, F., Nijman, T. and van den Goorbergh, R. (2014). An Anatomy of Commodity Futures Risk Premia The Journal of Finance, 69(1):453--482.

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  Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795.

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  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.

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  Mancini, L., Ranaldo, A. and Wrampelmeyer, J. (2013). Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums The Journal of Finance, 68(5):1805--1841.

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  Dittmann, I., Maug, E.G. and Spalt, O. (2013). Indexing executive compensation contracts Review of Financial Studies, 26(12):3182--3224.

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  van den Assem, M.J., van Dolder, D. and Thaler, R. (2012). Split or Steal? Cooperative Behavior When the Stakes Are Large Management Science, 58(1):2--20.

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  Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). 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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  Brown, S., Grundy, B., Lewis, C. and Verwijmeren, P. (2012). Convertibles and hedge funds as distributors of equity exposure Review of Financial Studies, 25(10):3077--3112.

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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.