Cai, J.J., Chavez-Demoulin, V. and Guillou, A. (2017). Modified marginal expected shortfall under asymptotic dependence Biometrika, 104(1):243--249.
239 key publications
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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. -
Alfons, A., Croux, C. and Filzmoser, P. (2017). Robust maximum association measures Journal of the American Statistical Association, 112(517):436--445. -
Einmahl, J., De Haan, L. and Zhou, C. (2016). Statistics of heteroscedastic extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 78(1):31--51.
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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. -
Blasques, F., Ji, J. and Lucas, A. (2016). Semiparametric score driven volatility models Computational Statistics and Data Analysis, 100(August):58--69. -
Jacobs, B., Donkers, B. and Fok, D. (2016). Model-based Purchase Predictions for Large Assortments Marketing Science, 35(3):389--404. -
Franses, P.H. (2016). A simple test for a bubble based on growth and acceleration Computational Statistics and Data Analysis, 100:160--169. -
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. -
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. -
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. -
Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s Journal of Econometrics, 189(1):101--116. -
Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127. -
Silva Lourenco, C., Gijsbrechts, E. and Paap, R. (2015). The Impact of Category Prices on Store Price Image Formation: An Empirical Analysis Journal of Marketing Research, 52(2):200--216. -
Blasques, F., Koopman, S. and Lucas, A. (2015). Information Theoretic Optimality of Observation Driven Time Series Models Biometrika, 102(2):325--343.
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Jungbacker, B. and Koopman, S. (2015). Likelihood-based Dynamic Factor Analysis for Measurement and Forecasting Econometrics Journal, 18(2):C1--C21.
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Boswijk, H., Jansson, M. and Nielsen, M. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics, 184(1):97--110. -
Gresnigt, F., Kole, E. and Franses, P.H. (2015). Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes Journal of Banking and Finance, 56:123--139.
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Kontoghiorghes, ErricosJ., Van Dijk, HermanK., Belsley, DavidA., Bollerslev, T., Diebold, FrancisX., Dufour, J.M., Engle, R., Harvey, A., Koopman, S.J., Pesaran, H., Phillips, PeterC.B., Smith, RichardJ., West, M., Yao, Q., Amendola, A., Billio, M., Chen, CathyW.S., Chiarella, C., Colubi, A., Deistler, M., Francq, C., Hallin, M., Jacquier, E., Judd, K., Koop, G., Lütkepohl, H., MacKinnon, JamesG., Mittnik, S., Omori, Y., Pollock, D.S.G., Proietti, T., Rombouts, JeroenV.K., Scaillet, O., Semmler, W., So, MikeK.P., Steel, M., Taylor, R., Tzavalis, E., Zakoian, J.M., Peter Boswijk, H., Luati, A. and Maheu, J. (2014). CFEnetwork: The Annals of computational and financial econometrics: 2nd issue Computational Statistics and Data Analysis, 76:1--3. -
Bos, C., Koopman, S. and Ooms, M. (2014). Long memory with stochastic variance model: A resursive analysis for U.S. inflation Computational Statistics and Data Analysis, 76(August):144--157.