Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
33 Key Publications
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van der Wel, M. and Zhang, Y. (2026). Global evidence on unspanned macro risks in dynamic term structure models Journal of Banking and Finance, 185.
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Capera Romero, L. and Opschoor, A. (2026). Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment Journal of Applied Econometrics. -
Terovitis, S. and Vladimirov, V. (2026). How Financial Markets Create Superstars Review of Financial Studies. -
van Os, B. and van Dijk, D. (2026). Dynamic Conditional Correlations with Partial Information Pooling Journal of Business and Economic Statistics, 44(1):309--320. -
Belot, M., Kircher, P. and Muller, P. (2026). Do the Long-term Unemployed Benefit from Automated Occupational Advice during Online Job Search? Economic Journal, 136(673):184--206. -
Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21. -
De Vos, I. and Stauskas, O. (2026). Cross-Section Bootstrap for CCE Regressions with General Unknown Factors Journal of Business and Economic Statistics. -
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600. -
Henkel, L. and Pugnaghi-Zimpelmann, C. (2026). Proud to Not Own Stocks: How Identity Shapes Financial Decisions Review of Financial Studies. -
Nolde, N., Zhou, C. and Zhou, M. (2026). Tail risk in the tail: Estimating high quantiles when a related variable is extreme Journal of the American Statistical Association. -
Gerritse, M., Wang, Z. and van Oort, F. (2026). Industrial Transfer Policy in China: Migration and development Journal of Urban Economics, 151.
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Mayer, A. and Massmann, M. (2026). Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience Journal of Business and Economic Statistics, 44(1):334--347.