25 Key Publications

• 

  Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):.

• 

  Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):.

• 

  Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.

• 

  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.