235 Key Publications

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  Sandor, Z.(. and Franses, P.H. (2009). Consumer Price Evaluations Through Choice Experiments Journal of Applied Econometrics, 24(3):517--535.

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  Chintagunta, P., Franses, P.H. and Paap, R. (2009). Introduction to the Special Issue on New Econometric Models in Marketing Journal of Applied Econometrics, 24(3):375--376.

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  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

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  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

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  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.

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  Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27.

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  Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.

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  Chesher, A., Dhaene, G.(. and van Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.

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  Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.

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  Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.

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  Giordani, P., Kohn, R. and van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics, 137(1):112--133.

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  Harvey, A., Trimbur, T. and van Dijk, H. (2007). Trends and cycles in economic time series: a Bayesian approach Journal of Econometrics, 140(2):618--649.

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  Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.

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  Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks Journal of Econometrics, 139(1):154--180.

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  Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207.

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  Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

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  Azevedo, J., Koopman, S. and Rua, A. (2006). Tracking the business cycle of the Euro area: A multivariate model-based band-pass filter Journal of Business and Economic Statistics, 24(3):278--290.

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  Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.

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  Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.

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  Donkers, B., Paap, R., Jonker, J. and Franses, P.H. (2006). Deriving Target Selection Rules from Endogenously Selected Samples Journal of Applied Econometrics, 21(5):549--562.