Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.
238 key publications
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Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126. -
Bernoth, K. and Pick, A. (2011). Forecasting the fragility of the banking and insurance sector Journal of Banking and Finance, 35(4):807--818.
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Konig, M., Battiston, S., Schweitzer, F. and Napoletano, M. (2011). The Efficiency and Stability of R&D Networks Games and Economic Behavior, 75(2):694--713.
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Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318. -
Cai, J.J., Einmahl, JohnH.J. and De Haan, L. (2011). Estimation of extreme risk regions under multivariate regular variation Annals of Statistics, 39(3):1803--1826. -
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187. -
Boswijk, H., Franses, P. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2. -
van Nierop, E., Bronnenberg, B., Paap, R., Franses, P.H. and Wedel, M. (2010). Retrieving Unobserved Consideration Sets from Household Panel Data Journal of Marketing Research, 47(1):63--74. -
van Rosmalen, J., van Herk, H. and Groenen, PatrickJ.F. (2010). Identifying Response Styles: A Latent-Class Bilinear Multinomial Logit Model Journal of Marketing Research, 47(1):157--172. -
Koopman, S. (2010). Discussion of `Particle Markov chain Monte Carlo methods – C. Andrieu, A. Doucet and R. Holenstein’ [Review of: Particle Markov chain Monte Carlo methods] Journal of the Royal Statistical Society. Series B. Statistical Methodology, 72:269--342.
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Koopman, S., Hindrayanto, A. and Ooms, M. (2010). Exact maximum likelihood estimation for non-stationary periodic time series models Computational Statistics and Data Analysis, 54:2641--2654. -
Boswijk, H., Franses, P. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159. -
Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11. -
Bijwaard, G. and Franses, P.H. (2009). The effect of rounding on payment efficiency Computational Statistics and Data Analysis, 53(4):1449--1461. -
Blasius, J., Greenarcre, M., Groenen, P. and van de Velden, M. (2009). Special issue on correspondence analysis and related methods Computational Statistics and Data Analysis, 53(8):3103--3106. -
Donkers, B., van Diepen, M. and Franses, P.H. (2009). Dynamic and Competitive Effects of Direct Mailings: A Charitable Giving Application Journal of Marketing Research, 46(1):120--133. -
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173. -
Paap, R., Segers, R. and van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543. -
Prins, R., Verhoef, P. and Franses, P.H. (2009). The impact of adoption timing on new service usage and early disadoption International Journal of Research in Marketing, 26(4):304--313.