van Dijk, D., Franses, P.H. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165.
220 key publications
filtered by:
-
-
Verhoef, P., Franses, P.H. and Hoekstra, J. (2002). The effect of rational constructs on customer referrals and number of services purchased from a multiservice provider: does age of relationship matter? Journal of the Academy of Marketing Science, 30(3):202--216. -
Koopman, S. and Durbin, J. (2002). A simple and efficient smoother for state space time series analysis Biometrika, 89(3):603--616.
-
Fok, D. and Franses, P.H. (2002). Ordered logit analysis for selectively sampled data Computational Statistics and Data Analysis, 40(3):477--497. -
Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280. -
Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249. -
Kleibergen, F.(. and Paap, R. (2002). Priors, posteriors and bayes factors for a Bayesian analysis of cointegration Journal of Econometrics, 111(2):223--249. -
Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.
-
van der Klaauw, B. and van den Berg, G.J. (2001). Combining Micro and Macro Unemployment Duration Data Journal of Econometrics, 102(2):271--309. -
Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39. -
Harvey, A. and Koopman, S. (2000). Signal Extraction and the Formulation of Unobserved Components Models Econometrics Journal, 3:84--107.
-
Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.
-
Koopman, S. and Durbin, J. (2000). Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives Journal of the Royal Statistical Society. Series B. Statistical Methodology, 62:3--56.
-
Franses, P.H. and Taylor, A. (2000). Determining the order of differencing in seasonal time series processes Econometrics Journal, 3(2):250--264.
-
Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166. -
van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235. -
Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315. -
Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301. -
Frances, P. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368.