Recent publications

Forecasting with Panel Data: Estimation Uncertainty versus Parameter Heterogeneity

Pesaran, H., Pick, A. & Timmermann, A., May 2026, In: Quantitative Economics. 17, 2, p. 342-393

Research output: Contribution to journal › Article › Academic › peer-review

Characterizing extremal dependence on a hyperplane

Wan, P., 2026, In: Biometrika. 113, 2, asag015.

Research output: Contribution to journal › Article › Academic › peer-review

The Annals of Computational and Financial Econometrics, first issue

Belsley, D. A., Kontoghiorghes, E. J., Van Dijk, H. K., Bauwens, L., Koopman, S. J., McAleer, M., Amendola, A., Billio, M., Croux, C., Chen, C. W. S., Davidson, R., Duchesne, P., Foschi, P., Francq, C., Fuertes, A. M., Koop, G., Khalaf, L., Paolella, M., Pollock, D. S. G. & Ruiz, E. & 6 others, Paap, R., Proietti, T., Winker, P., Yu, P. L. H., Zakoian, J. M. & Zeileis, A., 1 Nov 2012, In: Computational Statistics and Data Analysis. 56, 11, p. 2991-2992 2 p.

Research output: Contribution to journal › Editorial › Academic › peer-review

What Explains International Interest Rate Co-Movement?

Camehl, A. & von Schweinitz, G., 12 Feb 2026, (E-pub ahead of print) In: Journal of Applied Econometrics.

Research output: Contribution to journal › Article › Academic › peer-review

A model-averaging treatment of multiple instruments in Poisson models with errors

Zhang, X., Zhang, X. & Ma, Y., Mar 2023, In: Canadian Journal of Statistics. 51, 1, p. 173-198 26 p.

Research output: Contribution to journal › Article › Academic › peer-review

Optimal model averaging based on forward-validation

Zhang, X. & Zhang, X., Dec 2023, In: Journal of Econometrics. 237, 2, 105295.

Research output: Contribution to journal › Article › Academic › peer-review

Implicit score-driven filters for time-varying parameter models

Lange, R. J., van Os, B. & van Dijk, D., May 2026, In: Journal of Econometrics. 255, 106251.

Research output: Contribution to journal › Article › Academic › peer-review

Simulating a new crew planning process at Netherlands Railways

van Rossum, B., van Dijk, W., Dollevoet, T., Huisman, D., Siemann, M. & van 't Wout, J., Jun 2026, In: Journal of Rail Transport Planning & Management. 38, 100584.

Research output: Contribution to journal › Article › Academic › peer-review