Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
223 Key Publications
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Geweke, J., Rust, J. and van Dijk, H. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.
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Hobijn, B. and Franses, P.H. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.
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Koop, G. and van Dijk, H. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.
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Paap, R. and Franses, P.H. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744.
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Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166.
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Franses, P.H., Kloek, T. and Lucas, A.(. (1999). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89:293--315.
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Lumsdaine, R. and Ng, S. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279.
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Laan, E., Salomon, M., Dekker, R. and van Wassenhove, L. (1999). Inventory control in hybrid systems with remanufacturing Management Science, 45(5):733--747.
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van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
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van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.
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Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
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Franses, P.H. and Vogelsang, T. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240.
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Franses, P.H. and Lucas, A.(. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.
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Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.
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Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.
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Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.
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Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368.
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Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422.
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Koopman, S.J. (1997). Exact initial kalman filtering and smoothing for nonstationary time series models Journal of the American Statistical Association, 92(440):1630--1638.