Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
4 key publications
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Boswijk, H. and Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility Econometrics Journal, 21(2):87--113.
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Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54. -
Juodis, A. (2018). Pseudo Panel Data Models With Cohort Interactive Effects Journal of Business and Economic Statistics, 36(1):47--61.