prof.dr. R.L. Lumsdaine

prof.dr. R.L. Lumsdaine

Full Professor Erasmus School of Economics Econometrics
Location
Erasmus University Rotterdam
Room
-
Telephone
Email
lumsdaine@ese.eur.nl

Latest academic publication

R.L. Lumsdaine & R.J.D. Potter van Loon (2017). Do Survey Probabilities Match Financial Market Beliefs? Journal of Behavioral Finance. doi: 10.1080/15427560.2017.1376330[go to publisher's site]

More information

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      • R.L. Lumsdaine & R.J.D. Potter van Loon (2017). Do Survey Probabilities Match Financial Market Beliefs? Journal of Behavioral Finance. doi: 10.1080/15427560.2017.1376330[go to publisher's site]
      • R.L. Lumsdaine & S.J.C. Vermeer (2015). Retirement timing of women and the role of caring responsibilities for grandchildren. Demography, 52 (2), 433-454.
      • R.L. Lumsdaine & A. Exterkate (2013). How survey design affects self-assessed health responses in the survey of health. European Economic Review, 63, 299-307.
      • R.L. Lumsdaine & S. Prasad (2003). Identifying the common component in international economic fluctuations. The Economic Journal, 113, 101-127.
      • R.L. Lumsdaine & A. Spanous (2003). Comment on 'statistical adequancy and the testing of trend versus difference stationarity'. Econometric Reviews, 22 (3), 247-252.
      • R.L. Lumsdaine, D. Ben-David & D.H. Papell (2003). The unit root hypothesis is long-term output: evidence from two structural breaks for 16 countries. Empirical Economics (Heidelberg), 28 (2), 303-319.
      • R.L. Lumsdaine, G. Bekaert & C.R. Harvey (2002). Dating the integration of world equity markets. Journal of Financial Economics, 21 (3), 295-350.
      • R.L. Lumsdaine, G. Bekaert & C.R. Harvey (2002). The dynamics of emerging market equity flows. Journal of International Money and Finance, 21 (3), 327-363.
      • R.L. Lumsdaine & F. Bassett (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36 (2), 327-363.
      • R.L. Lumsdaine, C.M. Jones & O. Lamont (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47 (3), 315-337.
      • R.L. Lumsdaine & J. Bai (1998). Testing for and dating common breaks in multivariate time series. Review of Economic Studies, 65 (3), 395-432.
      • R.L. Lumsdaine & D.H. Papell (1997). Multiple trend breaks and the unit root hypothesis. The Review of Economics and Statistics, LXXIX (2), 212-218.
      • R.L. Lumsdaine (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1). Econometrica, 64 (3), 575-596.
      • R.L. Lumsdaine (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation. Journal of Business and Economic Statistics, 13, 1-10.
      • R.L. Lumsdaine, A. Banerjee & J.H. Stock (1992). Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence. Journal of Business and Economic Statistics, 10, 271-288.
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1990). Fenetres et Retraites. Annales d'Economie et de Statistique, 20-21, 219-242.
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1990). Efficient Windows and Labor Force Reduction. Journal of Public Economics, 43, 131-159.
      • R.L. Lumsdaine (2003). Correlation, models, and risk management in challenging times. Journal of Financial Econometrics, 40-51.
      • R.L. Lumsdaine & O.S. Mitchell (1999). New Developments in the Economic Analysis of Retirement. In O. Ashenfelter & D. Card (Eds.), Handbook of Labor Economics (3) (pp. 3261-3307). Amsterdam: Elsevier Science
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1996). Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security , and Retiree Health Benefits. In M. Hurd & N. Yashiro (Eds.), The Economics of Aging in the United states and Japan (pp. 261-293). Chicago: University of Chicago Press
      • R.L. Lumsdaine (2017). Econometric Perceptions and Complexities (2017, juni 9). Rotterdam: Econometric Intsitute
  • Full Professor

    University
    Erasmus University Rotterdam
    School
    Erasmus School of Economics
    Department
    Econometrics
    Country
    The Netherlands
    Telephone

    Full Professor

    University
    Erasmus University Rotterdam
    School
    Erasmus School of Economics
    Department
    Econometrics
    Country
    The Netherlands
    Telephone