D\textquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917.
24 Key Publications
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Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
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):1--22. -
De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):1--20.