DtextquoterightInnocenzo, 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.
27 Key Publications
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Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.
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Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1). -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Ikefuji, M., Magnus, JanR. and Yamagata, T. (2024). Revealing priors from posteriors with an application to inflation forecasting in the UK Econometrics Journal, 27(1):151--170.
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de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Boswijk, H., Laeven, R. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1).