Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.
238 key publications
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Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140. -
Koopman, S. and Durbin, J. (2002). A simple and efficient smoother for state space time series analysis Biometrika, 89(3):603--616.
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van der Klaauw, B. and van den Berg, G.J. (2001). Combining Micro and Macro Unemployment Duration Data Journal of Econometrics, 102(2):271--309. -
Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.
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Franses, P.H. and Taylor, A. (2000). Determining the order of differencing in seasonal time series processes Econometrics Journal, 3(2):250--264.
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Koopman, S. and Durbin, J. (2000). Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives Journal of the Royal Statistical Society. Series B. Statistical Methodology, 62:3--56.
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Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39. -
Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.
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Harvey, A. and Koopman, S. (2000). Signal Extraction and the Formulation of Unobserved Components Models Econometrics Journal, 3:84--107.
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Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166. -
Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315. -
van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235. -
Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301. -
Frances, P. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422. -
Koopman, S.J. (1997). Exact initial kalman filtering and smoothing for nonstationary time series models Journal of the American Statistical Association, 92(440):1630--1638. -
Franses, P.H., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380. -
Franses, P.H. and Draisma, G. (1997). Recognizing changing seasonal patterns using artificial neural networks Journal of Econometrics, 81:273--280. -
Ooms, M.(. and Franses, P.H. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment Journal of Business and Economic Statistics, 15(4):470--481.