220 key publications

• 

  Heij, C., Groenen, P. and van Dijk, D. (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics and Data Analysis, 51(7):3612--3625.

• 

  Pauwels, K., Srinivasan, S.(. and Franses, P.H. (2007). When do price thresholds matter in retail categories? Marketing Science, 26(1):83--100.

• 

  Stremersch, S., Tellis, G., Franses, P.H. and Binken, J. (2007). Indirect Network Effects in New Product Growth Journal of Marketing, 71(3):52--74.
• Jungbacker, B. and Koopman, S. (2007). Monte Carlo estimation for nonlinear non-Gaussian state space models Biometrika, 94:827--839.

• 

  Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

• 

  Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27.

• 

  Azevedo, J., Koopman, S. and Rua, A. (2006). Tracking the business cycle of the Euro area: A multivariate model-based band-pass filter Journal of Business and Economic Statistics, 24(3):278--290.

• 

  Ooms, M. and Koopman, S. (2006). Forecasting daily time series using periodic unobserved components time series models Computational Statistics and Data Analysis, 51(2):885--903.

• 

  Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.
• Lucas, A. and Klaassen, P. (2006). Discrete versus continuous state switching models for portfolio credit risk Journal of Banking and Finance, 30(1):23--35.

• 

  Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.

• 

  Amendola, A., Francq, C. and Koopman, S. (2006). Nonlinear Modelling and Financial Econometrics. Editorial Computational Statistics and Data Analysis, 51(4):2115--2117.

• 

  Sloot, L., Fok, D. and Verhoef, P. (2006). The Short- and Long-Term Impact of an Assortment Reduction on Category Sales Journal of Marketing Research, 43(4):536--548.

• 

  Tellis, G. and Franses, P.H. (2006). Optimal data interval for estimating advertising response Marketing Science, 25(3):217--229.

• 

  Fok, D., Horvath, C., Paap, R. and Franses, P.H. (2006). A hierarchical Bayes error correction model to explain dynamic effects of price changes Journal of Marketing Research, 43(3):443--461.

• 

  Barlow, J., Groenen, P., Park, H. and Zha, H. (2006). 2nd special issue on matrix computations and statistics. Computational Statistics and Data Analysis, 50(1):1--4.

• 

  Groenen, P., Winsberg, S., Rodriguez, O. and Diday, E. (2006). I-scal: multidimensional scaling of interval dissimilarities. Computational Statistics and Data Analysis, 51:360--378.

• 

  Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.

• 

  Boswijk, H. and Franses, P.H. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.
• Koopman, S., Lucas, A. and Klaassen, P. (2005). Empirical Credit Cycles and Capital Buffer Formation Journal of Banking and Finance, 29:3159--3179.