238 key publications

• 

  Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11.

• 

  van Diepen, M., Donkers, B. and Franses, P.H. (2009). Does Irritation Induced by Charitable Direct Mailings Reduce Donations? International Journal of Research in Marketing, 26(3):180--188.

• 

  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.

• 

  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.
• Banachewicz, K., van der Vaart, A.W. and Lucas, A. (2008). Modeling portfolio defaults using Hidden Markov Models with covariates Econometrics Journal, 11:155--171.

• 

  van Nierop, E., Fok, D. and Franses, P.H. (2008). Interaction between shelf layout and marketing effectiveness and its impact on optimizing shelf arrangements Marketing Science, 27(6):1065--1082.

• 

  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.

• 

  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

• 

  Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.

• 

  Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.

• 

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

• 

  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.

• 

  Geweke, J., Groenen, P., Paap, R. and van Dijk, H. (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. Computational Statistics and Data Analysis, 51(7):3506--3507.

• 

  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.

• 

  van Dijk, D., Franses, P. and Boswijk, H. (2007). Absorption of shocks in nonlinear autoregressive models Computational Statistics and Data Analysis, 51(9):4206--4226.

• 

  Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.

• 

  Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.