Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
220 key publications
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Moussa, K., Blasques, F. and Koopman, S.J. (2026). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression Journal of Business and Economic Statistics. -
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. -
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. -
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2026). Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter Journal of Business and Economic Statistics. -
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. -
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248. -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249. -
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2025). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304. -
Paap, R. and Franses, P.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models Journal of Business and Economic Statistics, 43(4):926--940. -
Einmahl, JohnH.J., Krajina, A. and Cai, J.J. (2025). Empirical likelihood based testing for multivariate regular variation Annals of Statistics, 53(1):352--373. -
Mayer, A., Wied, D. and Troster, V. (2025). Quantile Granger causality in the presence of instability☆ Journal of Econometrics, 249. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A). -
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1). -
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917. -
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.