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).
238 key publications
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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. -
Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2). -
Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.
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Borsch, M., Mayer, A. and Wied, D. (2024). Consistent Estimation of Multiple Breakpoints in Dependence Measures Journal of Business and Economic Statistics, 42(2):695--706. -
Albert Menkveld, Charles Bos, Chen Zhou, Egle Karmaziene, Jan Wrampelmeyer, Jingni Yang, Laura Capera, Michel van der Wel, Norman Seeger, Patrick Verwijmeren, Remco Zwinkels, Rex Wang Renjie, Sebastian Vogel, Shihao Yu, Utz Weitzel and Vladimir Vladimirov et al. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112. -
De Haan, M., Gautier, PieterA., Oosterbeek, H. and van der Klaauw, B. (2023). The Performance of School Assignment Mechanisms in Practice Journal of Political Economy, 131(2):388--455. -
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18. -
Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):1--3. -
Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Gorgi, P. and Koopman, S.J. (2023). Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects Journal of Econometrics, 237(2):1--21. -
Telg, S., Dubinova, A. and Lucas, A. (2023). Covid-19, credit risk management modeling, and government support Journal of Banking and Finance, 147:1--13.
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Mayer, A. and Wied, D. (2023). Estimation and inference in factor copula models with exogenous covariates Journal of Econometrics, 235(2):1500--1521. -
Cho, J. and Papavasiliou, A. (2023). Pricing Under Uncertainty in Multi-Interval Real-Time Markets Operations Research, 71(6):1928--1942. -
Zhang, X. and Zhang, X. (2023). Optimal model averaging based on forward-validation Journal of Econometrics, 237(2). -
Einmahl, J., Ferreira, A., De Haan, L., Neves, C. and Zhou, C. (2022). Spatial dependence and space-time trend in extreme events Annals of Statistics, 50(1):30--52.