De Luca, G., Magnus, JanR. and Peracchi, F. (2018). Weighted-average least squares estimation of generalized linear models Journal of Econometrics, 204(1):1--17.
6 Key Publications
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Juodis, A. (2018). Pseudo Panel Data Models With Cohort Interactive Effects Journal of Business and Economic Statistics, 36(1):47--61. -
Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657. -
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54. -
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. -
Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.