7 Key Publications

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  Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.

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  Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.

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  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.

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  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.

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  Francesco Ravazzolo (2018). Combined Density Nowcasting in an Uncertain Economic Environment Journal of Business and Economic Statistics.

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  Janus, P., Lucas, A., Opschoor, A. and van Dijk, D.J.C. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

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  Keijsers, B.J.L., Diris, B.F. and Kole, H.J.W.G. (2018). Cyclicality in Losses on Bank Loans Journal of Applied Econometrics, 33(4):533--552.