9 key publications

• Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, 126.

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  Jacobs, B., Fok, D. and Donkers, B. (2021). Understanding Large-Scale Dynamic Purchase Behavior Marketing Science, 40(5):844--870.
• Karabiyik, H. and Westerlund, J. (2021). Forecasting using cross-section average-Augmented time series regressions Econometrics Journal, 24(2):315--333.

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  Dorotic, M., Fok, D., Verhoef, PeterC. and Bijmolt, TammoH.A. (2021). Synergistic and cannibalization effects in a partnership loyalty program Journal of the Academy of Marketing Science, 49(5):1021--1042.

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  Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96.

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  Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180.

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  Blasques, F., Gorgi, P. and Koopman, S.J. (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568.

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  Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.

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  Juodis, A., Karabiyik, H. and Westerlund, J. (2021). On the robustness of the pooled CCE estimator Journal of Econometrics, 220(2):325--348.