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.
220 key publications
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Franses, P.H. (2016). A simple test for a bubble based on growth and acceleration Computational Statistics and Data Analysis, 100:160--169. -
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. -
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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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. -
Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s Journal of Econometrics, 189(1):101--116. -
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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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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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. -
Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135. -
Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284. -
Mesters, G. and Koopman, S. (2014). Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time Journal of Econometrics, 180(2):127--140. -
Dorotic, M., Verhoef, P., Fok, D. and Bijmolt, T. (2014). Reward redemption effects in a loyalty program when customers choose how much and when to redeem International Journal of Research in Marketing, 31(4):339--355. -
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. -
Tarakci, M., Ates, N.(., Porck, J., van Knippenberg, D., Groenen, P. and de Haas, M.(. (2014). Strategic Consensus Mapping: A New Method for Testing and Visualizing Strategic Consensus Within and Between Teams Strategic Management Journal, 35(7):1053--1069. -
Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.
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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. -
Groen, J.(., Paap, R. and Ravazzolo, F. (2013). Real-time Inflation Forecasting in a Changing World Journal of Business and Economic Statistics, 31(1):29--44. -
Horvath, C. and Fok, D. (2013). Moderating Factors of Immediate, Gross, and Net Cross-brand Effects of Price Promotions Marketing Science, 32(1):127--152. -
Pesaran, M., Pick, A. and Pranovich, M. (2013). Optimal Forecasts in the Presence of Structural Breaks Journal of Econometrics, 177(2):134--152.