Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
3 Key Publications
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Gautier, P., Muller, P., van der Klaauw, B., Rosholm, M. and Svarer, M. (2018). Estimating Equilibrium Effects of Job Search Assistance Journal of Labor Economics, 36(4):1073--1125. -
Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.