10 Key Publications

• 

  Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.

• 

  Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.

• 

  Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2020). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, 116:283--297.

• 

  Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Muris, C. (2020). Expected utility and catastrophic risk in a stochastic economy–climate model Journal of Econometrics, 214(1):110--129.

• 

  Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481.

• 

  Ruseckaite, A., Fok, D. and Goos, P. (2020). Flexible Mixture-Amount Models Using Multivariate Gaussian Processes Journal of Business and Economic Statistics, 38(2):257--271.

• 

  Friedrich, M., Smeekes, S. and Urbain, J.P. (2020). Autoregressive wild bootstrap inference for nonparametric trends Journal of Econometrics, 214(1):81--109.

• 

  Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models Journal of Applied Econometrics, 35(1):19--45.

• 

  de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.

• 

  Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.