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Peter Boswijk

Research Fellow
University
University of Amsterdam
E-mail
h.p.boswijk@uva.nl
Research field
Econometrics
Interests
Econometric Theory, Econometrics, Financial Econometrics, Panel Data, Time Series Econometrics
Website
Link to personal website

Biography

Peter Boswijk is Professor of Financial Econometrics and Vice-Dean and Chair of the Amsterdam School of Economics, University of Amsterdam.

Key publications

List of publications

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):.

Boswijk, H., Cavaliere, G., De Angelis, L. and Taylor, A. (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models Econometric Reviews, 42(9-10):725--757.

Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180.

Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42.

Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.

Boswijk, H. and Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility Econometrics Journal, 21(2):87--113.

Zu, Y. and Boswijk, H. (2017). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution Journal of Empirical Finance, 41:53--75.

Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics, 192(1):64--85.

Boswijk, H., Jansson, M. and Nielsen, M. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics, 184(1):97--110.

Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135.

van Garderen, K.J. and Boswijk, H. (2014). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors Economics Letters, 122(2):224--228.

Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series Journal of Business and Economic Statistics, 30(3):351--357.

Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126.

Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.

Boswijk, H. (2010). Mixed normal inference on multicointegration Econometric Theory, 26(5):1565--1576.

Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2.

Boswijk, H. (2010). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift Economics Letters, 107(2):190--193.

Boswijk, H., Hommes, C. and Manzan, S. (2007). Behavioral heterogeneity in stock prices Journal of Economic Dynamics and Control, 31(6):1938--1970.

Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.

Boswijk, H. and Franses, P.H. (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68:345--370.

Boswijk, H. and Doornik, J. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors Journal of Applied Econometrics, 20(6):797--810.

Boswijk, H. and Franses, P.H. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.

Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140.

Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

Boswijk, H. (2000). Mixed Normality and Ancillarity in I(2) Systems Econometric Theory, (16):878--904.

Boswijk, H. (1998). Review of 'Elements of Modern Asymptotic Theory with Statistical Applications' [Review of: B. McCabe, A. Tremayne (1993) Elements of Modern Asymptotic Theory with Statistical Applications] Econometric Reviews, 17(3):329--334.

Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.

Boswijk, H. and Urbain, J. (1997). Lagrange-multiplier tests for weak exogeneity: a synthesis. Econometric Reviews, 16(1):21--38.

Boswijk, H. and Lu, M. (1997). Roots of an orthogonal matrix - solution. Econometric Theory, 13(6):894--895.

Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.

Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.

Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.

Franses, P.H. and Boswijk, H. (1995). Periodic cointegration: representation and inference Review of Economics and Statistics, LXXVII(3):436--454.

Franses, P.H. and Boswijk, H. (1995). Testing for periodic integration Economics Letters, 48:241--248.

Boswijk, P. and Neudecker, H. (1994). An inequality between perpendicular least-squares and ordinary least-squares Econometric Theory, 10(2):441--442.

Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63:37--60.

Boswijk, H., Neudecker, H. and Liu, S. (1994). A note on the asymptotics of a stochastic vector difference equation Biometrika, 81(1):216--218.

Boswijk, H. (1993). On the formulation of Wald tests on long-run parameters Oxford Bulletin of Economics and Statistics, 55:137--144.

Boswijk, H. and Franses, P. (1992). Dynamic specification and cointegration Oxford Bulletin of Economics and Statistics, 54:369--381.

Boswijk, H. (1991). Optimal structural estimation of triangular systems: I. The stationary case Econometric Theory, 7:428--430.

Boswijk, H. (1991). Estimation and testing in linear models with singular covariance matrices Econometric Theory, 7:159--162.

Boswijk, H. (1991). Optimal structural estimation of triangular systems: II. The nonstationary case Econometric Theory, 7:556--558.

Boswijk, H. and Neudecker, H. (1990). Property of a matrix used in multidimensional scaling Econometric Theory, 6:285--285.