Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.
10 key publications
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Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Albert Menkveld, Charles Bos, Chen Zhou, Egle Karmaziene, Jan Wrampelmeyer, Jingni Yang, Laura Capera, Michel van der Wel, Norman Seeger, Patrick Verwijmeren, Remco Zwinkels, Rex Wang Renjie, Sebastian Vogel, Shihao Yu, Utz Weitzel and Vladimir Vladimirov et al. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390. -
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917. -
Breitung, J., Mayer, A. and Wied, D. (2024). Asymptotic properties of endogeneity corrections using nonlinear transformations Econometrics Journal, 27(3):362--383.
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Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1). -
Borsch, M., Mayer, A. and Wied, D. (2024). Consistent Estimation of Multiple Breakpoints in Dependence Measures Journal of Business and Economic Statistics, 42(2):695--706. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2).