6 Key Publications

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  Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.

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  Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126.

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  Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318.

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  Diks, C., Panchenko, V. and van Dijk, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails Journal of Econometrics, 163(2):215--230.

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  Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325.

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  Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187.