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.
221 Key Publications
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Fok, D., Paap, R. and \van Dijk\, A. (2010). A Rank-Ordered Logit Model with Unobserved Heterogeneity in Ranking Capabilities Journal of Applied Econometrics, 27(5):831--846. -
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. -
Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325. -
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. -
Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126. -
Beauchamp, JonathanP., Cesarini, D., Johannesson, M., Van Der Loos, MatthijsjH.M., Koellinger, PhilippD., Patrick, J.F.Groenen, Fowler, JamesH., Rosenquist, J.Niels, Thurik, A.Roy and Christakis, NicholasA. (2011). Molecular genetics and economics Journal of Economic Perspectives, 25(4):57--82. -
Diks, C., Panchenko, V. and \van Dijk\, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails Journal of Econometrics, 163(2):215--230. -
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318. -
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187. -
Boswijk, H., Franses, \.H. and \van Dijk\, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159. -
Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter Journal of Applied Econometrics, 25:695--719. -
Koopman, S., Mallee, M. and van der Wel, M. (2010). Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters Journal of Business and Economic Statistics, 28:329--343. -
Boswijk, H., Franses, \.H. and \van Dijk\, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2. -
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339. -
Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11. -
Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311. -
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173. -
Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables Journal of Applied Econometrics, 24(3):469--489. -
Paap, R., Segers, R. and \van Dijk\, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.