Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
Pinotti, P. and Marie, O. (2024). Immigration and Crime: An International Perspective Journal of Economic Perspectives, 38(1):181--200.
Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2):.
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22.
Manduca, R., Hell, M., Adermon, A., Blanden, J., Bratberg, E., Gielen, \AnneC.\, Kippersluis, \.V., Lee, K., Machin, S., Munk, \MartinD.\, Nybom, M., Ostrovsky, Y., Rahman, S. and Sirniö, O. (2024). Measuring Absolute Income Mobility: Lessons from North America and Europe American Economic Journal: Applied Economics, 16(2):1--30.
Naghi, \AndreaA.\, O'Neill, E. and \Danielova Zaharieva\, M. (2024). The benefits of forecasting inflation with machine learning: New evidence Journal of Applied Econometrics, 39(7):1321--1331.
Noailly, J., Nowzohour, L., van den Heuvel, M. and Pla, I. (2024). Heard the news? Environmental policy and clean investments Journal of Public Economics, 238:.
Pérignon, C., Akmansoy, O., Hurlin, C., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Menkveld, AlbertJ., Razen, M. and Weitzel, U. (2024). Computational Reproducibility in Finance: Evidence from 1,000 Tests Review of Financial Studies, 37(11):3558--3593.
Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1):.
Boswijk, \H.Peter\, Laeven, \RogerJ.A.\ and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):.
Ahmed, H., Einmahl, \JohnH.J.\ and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304.
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849.
Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):.