Tommasi, D. and Zhang, L. (2024). Identifying program benefits when participation is misreported Journal of Applied Econometrics, :1123--1148.
235 Key Publications
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Lange, R. and Teulings, C.(. (2024). Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming Journal of Economic Theory, 215:. -
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):. -
D\textquoterightInnocenzo, 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. -
Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187. -
Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):. -
Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112. -
He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177. -
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):. -
Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095. -
Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65. -
Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21. -
Almeida, C., Fan, J., Freire, G. and Tang, F. (2023). Can a Machine Correct Option Pricing Models? Journal of Business and Economic Statistics, 41(3):995--1009. -
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. -
Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346. -
Juodis, A. and Reese, S. (2022). The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation Journal of Business and Economic Statistics, 40(3):1191--1203. -
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Yue, Y. (2022). Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities Journal of the American Statistical Association, 117(537):82--93. -
De Luca, G., Magnus, JanR. and Peracchi, F. (2022). Sampling properties of the Bayesian posterior mean with an application to WALS estimation Journal of Econometrics, 230(2):299--317. -
Almeida, C. and Freire, G. (2022). Pricing of index options in incomplete markets Journal of Financial Economics, 144(1):174--205.