310 Key Publications

• 

  van Dijk, D., Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting interest rates with shifting endpoints Journal of Applied Econometrics, 29:693--712.
• Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.

• 

  Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135.

• 

  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.
• Scholtus, M.(., van Dijk, D. and Frijns, B. (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements Journal of Banking and Finance, 38:89--105.

• 

  Mesters, G. and Koopman, S. (2014). Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time Journal of Econometrics, 180(2):127--140.

• 

  Bataa, E., Osborn, D., Sensier, M. and van Dijk, D. (2013). Structural breaks in the international dynamics of inflation Review of Economics and Statistics, 95(2):646--659.
• Karstanje, D., Sojli, E., Tham, W. and van der Wel, M. (2013). Economic Valuation of Liquidity Timing Journal of Banking and Finance, 37(12):5073--5087.

• 

  de Haan, L., de Vries, C. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.

• 

  Pesaran, M., Pick, A. and Pranovich, M. (2013). Optimal Forecasts in the Presence of Structural Breaks Journal of Econometrics, 177(2):134--152.

• 

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

• 

  Groen, J.(., Paap, R. and Ravazzolo, F. (2013). Real-time Inflation Forecasting in a Changing World Journal of Business and Economic Statistics, 31(1):29--44.

• 

  Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series Journal of Business and Economic Statistics, 30(3):351--357.

• 

  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.

• 

  Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666.

• 

  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.

• 

  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.
• Santos, A., Nogales, F., Ruiz, E. and van Dijk, D. (2012). Optimal portfolios with minimum capital requirements Journal of Banking and Finance, 36(7):1928--1942.

• 

  Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318.