Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
10 key publications
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De Haan, M., Gautier, PieterA., Oosterbeek, H. and van der Klaauw, B. (2023). The Performance of School Assignment Mechanisms in Practice Journal of Political Economy, 131(2):388--455. -
Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):1--3. -
Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Telg, S., Dubinova, A. and Lucas, A. (2023). Covid-19, credit risk management modeling, and government support Journal of Banking and Finance, 147:1--13.
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Mayer, A. and Wied, D. (2023). Estimation and inference in factor copula models with exogenous covariates Journal of Econometrics, 235(2):1500--1521. -
Cho, J. and Papavasiliou, A. (2023). Pricing Under Uncertainty in Multi-Interval Real-Time Markets Operations Research, 71(6):1928--1942. -
Zhang, X. and Zhang, X. (2023). Optimal model averaging based on forward-validation Journal of Econometrics, 237(2). -
Gorgi, P. and Koopman, S.J. (2023). Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects Journal of Econometrics, 237(2):1--21.