193 Key Publications

• 

  Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L., and van Dijk, H. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies. Journal of Econometrics.

• 

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

• 

  Christensen, B. and van der Wel, M. (2019). An asset pricing approach to testing general term structure models. Journal of Financial Economics, to appear.

• 

  Karabiyik, H. and Palm, FranzC. and Urbain, J.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522.

• 

  Karabiyik, H. and Urbain, J.P. and Westerlund, J. (2019). CCE estimation of factor-augmented regression models with more factors than observables Journal of Applied Econometrics, 34(2):268--284.

• 

  Boot, T. and Pick, A. (2019). Does modeling a structural break improve forecast accuracy? Journal of Econometrics, :.

• 

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

• 

  Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference. Journal of Econometrics, 205(1):34-54.

• 

  Kleibergen, F., Dovonon, P., and Hall, A. (2018a). Inference in second order identified models. Journal of Econometrics.

• 

  Koopman, S., Lit, R., Lucas, A., and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes. Journal of Applied Econometrics, 33(7):966-985.

• 

  Lucas, A., Schaumburg, J., and Schwaab, B. (2018). Bank business models at zero interest rates. Journal of Business and Economic Statistics, pages 1-14.

• 

  van Ophem, J., van Giersbergen, N., van Garderen, K., and Bun, M. (2018). The cyclicality of R&D investment revisited. Journal of Applied Econometrics.

• 

  Boot, T. and Pick, A. (2018). Optimal forecasts from markov switching models. Journal of Business and Economic Statistics, 36(4):628-642.

• 

  Opschoor, A., Janus, P., Lucas, A., and Van Dijk, D. (2018). New heavy models for fat-tailed realized covariances and returns. Journal of Business and Economic Statistics, pages 643-657.

• 

  Keijsers, B., Diris, B., and Kole, H. (2018). Cyclicality in losses on bank loans. Journal of Applied Econometrics, 33(4):533-552.

• 

  Barra, I., Hoogerheide, L., Koopman, S., and Lucas, A. (2017). Joint Bayesian analysis of parameters and states in nonlinear, non-gaussian state space models. Journal of Applied Econometrics, 32(5):1003-1026.

• 

  Schwaab, B., Koopman, S., and Lucas, A. (2017). Global credit risk: World, country and industry factors. Journal of Applied Econometrics, 32(2):296-317.

• 

  Koopman, S. and Mesters, G. (2017). Empirical Bayes methods for dynamic factor models. Review of Economics and Statistics, 99(3):486-498.

• 

  Koopman, S., Lit, R., and Lucas, A. (2017). Intraday stochastic volatility in discrete price changes: the dynamic skellam model. Journal of the American Statistical Association, 112(520):1490-1503.

• 

  Lucas, A., Schwaab, B., and Zhang, X. (2017). Modeling financial sector joint tail risk in the Euro area. Journal of Applied Econometrics, 32(1):171-191.