238 key publications

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  Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.
• Zhou, C. (2020). Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):928--928.

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  Bräuning, F. and Koopman, S.J. (2020). The dynamic factor network model with an application to international trade Journal of Econometrics, 216(2):494--515.

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  Ruseckaite, A., Fok, D. and Goos, P. (2020). Flexible Mixture-Amount Models Using Multivariate Gaussian Processes Journal of Business and Economic Statistics, 38(2):257--271.

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  Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.

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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.
• Juodis, A. and Westerlund, J. (2019). Optimal panel unit root testing with covariates Econometrics Journal, 22(1):57--72.

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  Boot, T. and Pick, A. (2019). Does modeling a structural break improve forecast accuracy? Journal of Econometrics, 215(1):35--59.

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  Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.

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  Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

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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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  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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  Boot, T. and Pick, A. (2018). Optimal forecasts from Markov switching models Journal of Business and Economic Statistics, 36(4):628--642.

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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.
• 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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  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.