van Dijk, D.J.C., Lumsdaine, R.L. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
7 Key Publications
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Francesco Ravazzolo (2016). Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model Journal of Applied Econometrics.
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Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223. -
Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics, 192(1):64--85. -
Blasques Albergaria Amaral, F., Koopman, S., Mallee, M. and Zhang, Z. (2016). Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data Journal of Econometrics, 193(2):405--417. -
Christensen, B.J., Posch, O. and van der Wel, M. (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data Journal of Econometrics, 194(1):116--137. -
Koopman, S., Lucas, A. and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models Review of Economics and Statistics, 98(1):97--110.