Goyal, S., Rosenkranz, S., Weitzel, U. and Buskens, V. (2017). Information Acquisition and Exchange in Social Networks Economic Journal, 127(606):2302--2331.
146 Key Publications
filtered by:
-
-
Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317.
-
Aït-Sahalia, Y., Fan, J., Laeven, R., Wang, C. and Yang, X. (2017). Estimation of the Continuous and Discontinuous Leverage Effects Journal of the American Statistical Association, 112(520):1744--1758.
-
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.
-
Busch, P. and Obernberger, S. (2017). Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices Review of Financial Studies, 30(1):324--362.
-
Menkveld, AlbertJ., Yueshen, B.Z. and Zhu, H. (2017). Shades of darkness: A pecking order of trading venues Journal of Financial Economics, 124(3):503--534.
-
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.
-
Menkveld, AlbertJ. and Zoican, MariusA. (2017). Need for speed? Exchange latency and liquidity Review of Financial Studies, 30(4):1188--1228.
-
Gryglewicz, S., Décamps, J., Morellec, E. and Villeneuve, S. (2017). Corporate Policies with Permanent and Transitory Shocks Review of Financial Studies, 30(1):162--210.
-
Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.
-
Pfeil, S., Klimenko, N. and Rochet, J. (2017). A simple macroeconomic model with extreme financial frictions Journal of Mathematical Economics, 86:92--102.
-
Mancini, L., Ranaldo, A. and Wrampelmeyer, J. (2016). The euro interbank repo market Review of Financial Studies, 29(7):1747--1779.
-
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
-
Baltussen, G., van den Assem, M.J. and van Dolder, D. (2016). Risky Choice in the Limelight Review of Economics and Statistics, 98(2):318--332.
-
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.
-
Grundy, B. and Verwijmeren, P. (2016). Disappearing Call Delay and Dividend-Protected Convertible Bonds The Journal of Finance, 71(1):195--223.
-
Hillert, A., Maug, E. and Obernberger, S. (2016). Stock repurchases and liquidity Journal of Financial Economics, 119(1):186--209.
-
Korteweg, A., Kraussl, R. and Verwijmeren, P. (2015). Does it pay to invest in art? A selection-corrected returns perspective Review of Financial Studies, 29(4):1007--1038.
-
Koudijs, P. and Voth, H.J. (2016). Leverage and beliefs: Personal experience and risk-taking in margin lending American Economic Review, 106(11):3367--3400.
-
Seeger, N., Rodrigues, P. and Ignatieva, K. (2015). Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices Journal of Business and Economic Statistics, 33(1):68--75.