220 key publications

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  Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.

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  Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.

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  Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.
• Juodis, A. and Westerlund, J. (2019). Optimal panel unit root testing with covariates Econometrics Journal, 22(1):57--72.

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  Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.

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  Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.
• Boswijk, H. and Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility Econometrics Journal, 21(2):87--113.

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  Juodis, A. (2018). Pseudo Panel Data Models With Cohort Interactive Effects Journal of Business and Economic Statistics, 36(1):47--61.

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  Konig, M., Zilibotti, F., Thoenig, M. and Rohner, D. (2017). Networks in Conflict: Theory and Evidence from the Great War of Africa Econometrica, 85(4):1093--1132.

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  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.

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  Karabiyik, H., Reese, S. and Westerlund, J. (2017). On the role of the rank condition in CCE estimation of factor-augmented panel regressions Journal of Econometrics, 197(1):60--64.

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  Alfons, A., Croux, C. and Filzmoser, P. (2017). Robust maximum association measures Journal of the American Statistical Association, 112(517):436--445.
• Cai, J.J., Chavez-Demoulin, V. and Guillou, A. (2017). Modified marginal expected shortfall under asymptotic dependence Biometrika, 104(1):243--249.
• van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.

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  Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). 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. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

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  Boswijk, H., Francq, C., Hallin, M. and Taylor, R. (2016). Editorial: Special Issue on Time Series Econometrics Computational Statistics and Data Analysis, 100:631--632.

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  Blasques, F., Ji, J. and Lucas, A. (2016). Semiparametric score driven volatility models Computational Statistics and Data Analysis, 100(August):58--69.

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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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  Jacobs, B., Donkers, B. and Fok, D. (2016). Model-based Purchase Predictions for Large Assortments Marketing Science, 35(3):389--404.