148 Key Publications

• 

  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.

• 

  Grundy, B., Lim, B. and Verwijmeren, P. (2012). Do option markets undo restrictions on short sales: evidence from the 2008 short sale ban Journal of Financial Economics, 106(2):331--348.

• 

  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.

• 

  Hendershott, T., Jones, M. and Menkveld, A. (2011). Does algorithmic trading improve liquidity The Journal of Finance, 66(1):1--33.

• 

  Chen, A., Pelsser, A. and Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions Journal of Economic Theory, 146(5):2075--2092.

• 

  de Jong, A., Dutordoir, M.(. and Verwijmeren, P. (2011). Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation Journal of Financial Economics, 100(1):113--129.

• 

  Gryglewicz, S. (2011). A Theory of Corporate Financial Decisions with Liquidity and Solvency Concerns Journal of Financial Economics, 99(2):365--384.

• 

  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.

• 

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

• 

  Boot, A. and Thakor, A. (2011). Managerial autonomy, allocation of control rights, and optimal capital structure Review of Financial Studies, 24(10):3434--3485.

• 

  Pfeil, S. and Hoffmann, F. (2010). Reward for luck in a dynamic agency model Review of Financial Studies, 23(9):3329--3345.

• 

  Dittmann, I., Maug, E. and Spalt, O. (2010). Sticks or carrots? Optimal CEO compensation when managers are loss-averse The Journal of Finance, 65(6):2015--2050.

• 

  Foucault, T. and Menkveld, A. (2008). Competition for Order Flow and smart Order Routing Systems The Journal of Finance, 63(1):119--158.

• 

  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

• 

  Blinder, A., Ehrmann, M., Fratzscher, M., De Haan, J. and Jansen, D. (2008). Central bank communication and monetary policy: A survey of theory and evidence Journal of Economic Literature, 46(4):.

• 

  Alfaro, L., Kalemli-Ozcan, S. and Volosovych, V. (2008). Why Doesn't Capital Flow From Rich To Poor Countries: An Empirical Investigation Review of Economics and Statistics, 90(2):347--368.

• 

  Boot, A., Gopalan, R. and Thakor, A. (2008). Market liquidity, investor participation, and managerial autonomy: Why do firms go private? The Journal of Finance, 63(4):2013--2059.

• 

  Post, G., van den Assem, M.J., Baltussen, G. and Thaler, R. (2008). Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show American Economic Review, 98(1):38--71.

• 

  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

• 

  Biais, B. and Perotti, E. (2008). Entrepreneurs and new ideas RAND Journal of Economics, 39(4):1105--1125.