179 Key Publications

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

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  Blasques, F., Koopman, S., Lucas, A., and Schaumburg, J. (2016d). Spillover dynamics for systemic risk measurement using spatial financial time series models. Journal of Econometrics, 195(2):211-223.

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  Blasques Albergaria Amaral, F., Koopman, S., Mallee, M., and Zhang, Z. (2016). Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. Journal of Econometrics, 193(2):405-417.

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  Christensen, B., Posch, O., and van der Wel, M. (2016). Estimating dynamic equilibrium models using macro and financial data. Journal of Econometrics, 194(1):116-137.

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  Koopman, S., Lucas, A., and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models. Review of Economics and Statistics, 98(1):97-110.

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  Lumsdaine, R., van Dijk, D., and van der Wel, M. (2016). Market set-up in advance of federal reserve policy decisions. Economic Journal, 126(592):618-653.

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  van Dijk, D., Lumsdaine, R., and van der Wel, M. (2016). Market set-up in advance of federal reserve policy rate decisions. Economic Journal, 126(592):618-653.

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  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.

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  Koopman, S., Lucas, A., and Scharth, M. (2015). Numerically accelerated importance sampling for nonlinear non-gaussian state space models. Journal of Business and Economic Statistics, 33(1):114-127.

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  Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s. Journal of Econometrics, 189(1):101-116.

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  Kleibergen, F. and Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Journal of Applied Econometrics, 29(7):1183-1207.

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

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  Lucas, A., Schwaab, B., and Zhang, X. (2014). Conditional Euro area sovereign default risk. Journal of Business and Economic Statistics, 32(2):271-284.

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  Dijk, D., Koopman, S., van der Wel, M., and Wright, J. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29(5):693-712.

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  Creal, D., Schwaab, B., Koopman, S., and Lucas, A. (2014). Observation driven mixed-measurement dynamic factor models with an application to credit risk. Review of Economics and Statistics, 96(5):898-915.

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  Mesters, G. and Koopman, S. (2014). Generalized dynamic panel data models with random effects for cross-section and time. Journal of Econometrics, 180(2):127-140.

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  Basturk, N., Cakmakli, C., Ceyhan, S., and van Dijk, H. (2014). Posterior-predictive evidence on US inflation using extended new Keynesian Phillips curve models with non-filtered data. Journal of Applied Econometrics, 29(7):1164-1182.

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  Jungbacker, B., Koopman, S., and van der Wel, M. (2014). Smooth dynamic factor analysis with application to the U.S. term structure of interest rates. Journal of Applied Econometrics, 29(1):65-90.

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  van Dijk, D., Koopman, S., van der Wel, M., and Wright, J. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29:693-712.

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  Creal, D., Koopman, S., and Lucas, A. (2013). General autoregressive score models with applications. Journal of Applied Econometrics, 28(5):777-795.