Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21.
7 key publications
filtered by:
-
-
Nolde, N., Zhou, C. and Zhou, M. (2026). Tail risk in the tail: Estimating high quantiles when a related variable is extreme Journal of the American Statistical Association. -
Moussa, K., Blasques, F. and Koopman, S.J. (2026). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression Journal of Business and Economic Statistics. -
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253. -
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association. -
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2026). Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter Journal of Business and Economic Statistics. -
Mayer, A. and Massmann, M. (2026). Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience Journal of Business and Economic Statistics, 44(1):334--347.