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Publications

by members of

Vrije Universiteit Amsterdam → School of Business and Economics → Afdeling Econometrie and Operations Research

VU University Amsterdam → Department of Econometrics and Operations Research

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

2026

  1. Tom'as del Barrio Castro & Alain Hecq & Sean Telg, 2026, "Seasonality in Mixed Causal-Noncausal Processes," Papers, arXiv.org, number 2604.07040, Apr.

2025

  1. Ignace De Vos & Gerdie Everaert, 2025, "GLS Estimation of Local Projections: Trading Robustness for Efficiency," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 24/1095, Jun.
  2. Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025, "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-011/III, Feb.
  3. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & James Sampi, 2025, "Food prices and production in the aftermath of natural disasters: the case of Peru," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-024/III, Apr.
  4. Karim Moussa & Siem Jan Koopman, 2025, "Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-034/III, May, revised 10 Mar 2026.
  5. Ilka van de Werve & Siem Jan Koopman & Frank Weerman & Arjan Blokland, 2025, "Exploring the crime drop in European Union homicide rates using econometric modelling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-053/III, Sep.

2024

  1. Stauskas, Ovidijus & De Vos, Ignace, 2024, "Handling Distinct Correlated Effects with CCE," MPRA Paper, University Library of Munich, Germany, number 120194, Feb.
  2. Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024, "A robust Beveridge-Nelson decomposition using a score-driven approach with an application," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-003/III, Nov.
  3. F. Blasques & S.J. Koopman & G. Mingoli & S. Telg, 2024, "A Novel Test for the Presence of Local Explosive Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-036/III, May.
  4. Lucas P. Harlaar & Jacques J.F. Commandeur & Jan A. van den Brakel & Siem Jan Koopman & Niels Bos & Frits D. Bijleveld, 2024, "Statistical Early Warning Models with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-037/III, May.
  5. Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024, "Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-062/III, Nov.
  6. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Noah Stegehuis, 2024, "Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-066/III, Nov.

2023

  1. Mirko Armillotta & Paolo Gorgi, 2023, "Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-054/III, Oct.
  2. F. Blasques & P. Gorgi & S. J. Koopman & J. Sampi, 2023, "Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-007/IVI, Feb.
  3. Mariia Artemova & Francisco Blasques & Siem Jan Koopman, 2023, "A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-021/III, Apr.
  4. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023, "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-065/III, Oct, revised 01 Mar 2024.
  5. Khmelnitskaya, A.B. & van der Laan, G. & Talman, A.J.J., 2023, "The number of ways to construct a connected graph: A graph-based generalization of the binomial coefficients," Other publications TiSEM, Tilburg University, School of Economics and Management, number 41c49b74-1ba6-4d77-9d47-4.

2022

  1. Adam Lee & Lukas Hoesch & Geert Mesters, 2022, "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers, Barcelona School of Economics, number 1367, Oct.
  2. Lukas Hoesch & Adam Lee & Geert Mesters, 2022, "Robust inference for non-Gaussian SVAR models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1847, Oct.
  3. Ilka van de Werve & Siem Jan Koopman, 2022, "Finding the European crime drop using a panel data model with stochastic trends," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-089/III, Dec.

2021

  1. De Vos, Ignace & Stauskas, Ovidijus, 2021, "Bootstrap Improved Inference for Factor-Augmented Regressions with CCE," Working Papers, Lund University, Department of Economics, number 2021:16, Nov.
  2. De Vos, Ignace & Everaert, Gerdie & Sarafidis, Vasilis, 2021, "A method for evaluating the rank condition for CCE estimators," MPRA Paper, University Library of Munich, Germany, number 112305, Apr, revised 09 Mar 2022.
  3. Mariia Artemova & Francisco Blasques & Siem Jan Koopman & Zhaokun Zhang, 2021, "Forecasting in a changing world: from the great recession to the COVID-19 pandemic," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-006/III, Jan.
  4. Quint Wiersma & Siem Jan Koopman & Julia Schaumburg & Etienne Wijler, 2021, "Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-008/III, Jan, revised 10 Mar 2026.
  5. Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021, "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-020/III, Feb.
  6. Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021, "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-056/III, Jun.
  7. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021, "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-057/III, Jun.
  8. Calza, Alessandro & Hey, Julius-Benjamin & Parrini, Alessandro & Sauer, Stephan, 2021, "Corporate loans, banks’ internal risk estimates and central bank collateral: evidence from the euro area," Working Paper Series, European Central Bank, number 2579, Jul.
  9. Anna Dubinova & Andre Lucas & Sean Telg, 2021, "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-059/III, Jun.
  10. Marina Friedrich & Yicong Lin & Pavitram Ramdaras & Sean Telg & Bernhard van der Sluis, 2021, "Time-varying effects of housing attributes and economic environment on housing prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-039/III, Jun.

2020

  1. Lukas Hoesch & Tatevik Sekhposyan & Barbara Rossi, 2020, "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," Working Papers, Barcelona School of Economics, number 1158, Mar.
  2. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2020, "A statistical model of the global carbon budget," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-18, Dec.
  3. Paolo Gorgi & Siem Jan Koopman, 2020, "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-004/III, Jan.
  4. Paolo Gorgi & Siem Jan Koopman & Rutger Lit, 2020, "Estimation of final standings in football competitions with premature ending: the case of COVID-19," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-070/III, Oct.
  5. Francisco Blasques & Meindert Heres Hoogerkamp & Siem Jan Koopman & Ilka van de Werve, 2020, "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-078/III, Nov, revised 21 Jan 2021.
  6. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2020, "Sampling properties of the Bayesian posterior mean with anapplication to WALS estimation," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 2003, revised Mar 2020.
  7. Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020, "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-035/III, Jun.
  8. Jan R. Magnus & Enrique Sentana, 2020, "Zero-diagonality as a linear structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-039/III, Jun.
  9. Masako Ikefuji & Jan R. Magnus, 2020, "The perception of climate sensitivity: Revealing priors from posteriors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-046/III, Jul.

2019

  1. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019, "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-21, Nov.
  2. Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019, "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper, Norges Bank, number 2019/12, Aug.
  3. Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman, 2019, "Bayesian Risk Forecasting for Long Horizons," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-018/III, Feb.
  4. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2019, "Posterior moments and quantiles for the normal location model with Laplace prior," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1911, revised Jun 2019.
  5. Hecq, Alain & Issler, João Victor & Telg, Sean, 2019, "Mixed causal-noncausal autoregressions with exogenous regressors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 810, Oct.

2018

  1. Arantza (M.A.) Estevez-Fernandez & Herbert Hamers, 2018, "Chinese postman games with repeated players," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-081/II, Nov.
  2. P. Gorgi & Siem Jan (S.J.) Koopman & R. Lit, 2018, "The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-009/III, Jan.
  3. Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018, "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-013/III, Feb.
  4. Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li, 2018, "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-026/III, Mar.
  5. Mengheng Li & Siem Jan (S.J.) Koopman, 2018, "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-027/III, Mar.
  6. Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018, "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-088/III, Nov.
  7. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2018, "Comments on “Unobservable Selection and Coefficient Stability-Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1802, revised Feb 2018.
  8. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue, 2018, "Earthquake risk embedded in property prices: Evidence from five Japanese cities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-061/III, Jul.
  9. Alexander Heinemann & Sean Telg, 2018, "A Residual Bootstrap for Conditional Expected Shortfall," Papers, arXiv.org, number 1811.11557, Nov.
  10. Takayuki Oishi & Gerard van der Laan & René van den Brink, 2018, "The Tort Law and the Nucleolus for Generalized Joint Liability Problems," Discussion Papers, Meisei University, School of Economics, number 37, Mar.
  11. van der Laan, G. & Talman, Dolf & Yang, Z., 2018, "Equilibrium in the Assignment Market under Budget Constraints," Discussion Paper, Tilburg University, Center for Economic Research, number 2018-046.

2017

  1. Estévez-Fernández , M.A. & Borm, Peter & Fiestras, & Mosquera, & Sanchez,, 2017, "On the 1-nucleolus," Other publications TiSEM, Tilburg University, School of Economics and Management, number a8ce6687-c87a-4131-98f7-3.
    • A. Estévez-Fernández & P. Borm & M. G. Fiestras-Janeiro & M. A. Mosquera & E. Sánchez-Rodríguez, 2017, "On the 1-nucleolus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 86, issue 2, pages 309-329, October, DOI: 10.1007/s00186-017-0597-x.
  2. Dietzenbacher, Bas & Borm, Peter & Estevez Fernandez, M.A., 2017, "NTU-Bankruptcy Problems : Consistency and the Relative Adjustment Principle," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-044.
  3. Siem Koopman & André Lucas & Marcin Zamojski, 2017, "Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting," NBP Working Papers, Narodowy Bank Polski, number 258.
  4. Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2017, "Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-059/III, Jul.
  5. Siem Jan (S.J.) Koopman & Rutger Lit, 2017, "Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-062/III, Jul.
  6. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2017, "Weighted-average least squares estimation of generalized linear models," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1711, revised Aug 2017.
  7. Jan R. Magnus & Anatoly A. Peresetsky, 2017, "Grade Expectations: Rationality and Overconfidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-054/III, Jun.
  8. Cubadda, Gianluca & Hecq, Alain & Telg, Sean, 2017, "Detecting Co-Movements in Noncausal Time Series," MPRA Paper, University Library of Munich, Germany, number 77254, Mar, revised 02 Mar 2017.
  9. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017, "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper, University Library of Munich, Germany, number 80767, Aug.
  10. van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2017, "Perfection and stability of stationary points with applications to noncooperative games," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 344, Apr.
  11. René van den Brink, 2017, "Games with a Permission Structure: a survey on generalizations and applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-016/II, Jan.

2016

  1. Ignace De Vos & Gerdie Everaert, 2016, "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 16/920, Apr.
  2. Dietzenbacher, Bas & Estevez Fernandez, M.A. & Borm, Peter & Hendrickx, Ruud, 2016, "Proportionality, Equality, and Duality in Bankruptcy Problems with Nontransferable Utility," Discussion Paper, Tilburg University, Center for Economic Research, number 2016-026.
  3. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016, "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers, arXiv.org, number 1610.02863, Oct.
  4. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016, "The information in systemic risk rankings," Working Paper Series, European Central Bank, number 1875, Jan.
  5. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016, "Global credit risk: world country and industry factors," Working Paper Series, European Central Bank, number 1922, Jun.
  6. Falk Bräuning & Siem Jan Koopman, 2016, "The dynamic factor network model with an application to global credit risk," Working Papers, Federal Reserve Bank of Boston, number 16-13, Oct.
  7. Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
  8. Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016, "Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-029/III, Apr.
  9. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2016, "Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-051/IV, Jul.
  10. Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.
  11. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016, "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-082/III, Oct.
  12. Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016, "The forecast combination puzzle: a simple theoretical explanation," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 532152, Feb.
  13. Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016, "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper, University Library of Munich, Germany, number 74922, Nov, revised 04 Nov 2016.
  14. Anna Khmelnitskaya & Gerard van der Laan & Dolf Talman, 2016, "Generalization of Binomial Coefficients to Numbers on the Nodes of Graphs," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-011/II, Feb.
  15. Takayuki Oishi & Gerard van der Laan & René van den Brink, 2016, "An Axiomatic Analysis of Joint Liability Problems with Rooted -Tree Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-042/II, May.
  16. Anna Khmelnitskaya & Gerard van der Laan & Dolf Talman, 2016, "Centrality Rewarding Shapley and Myerson Values for Undirected Graph Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-070/II, Sep.
  17. René van den Brink & Juan D. Moreno-Ternero, 2016, "The Reverse TAL-family of Rules for Bankruptcy Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-108/II, Dec.
  18. Peters, Hans & Timmer, Judith & van den Brink, Rene, 2016, "Power on digraphs," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 019, Apr, DOI: 10.26481/umagsb.2016019.

2015

  1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015, "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-10, Feb.
  2. Laurent Callot & Johannes Tang Kristensen, 2015, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-069/III, Jun.
  3. Ignace De Vos & Gerdie Everaert & Ilse Ruyssen, 2015, "Bootstrap-Based Bias Correction And Inference For Dynamic Panels With Fixed Effects," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 15/906, Apr.
  4. A. Estévez-Fernández & P. Borm & M.G. Fiestras-Janeiro & M.A. Mosquera & E. Sánchez-Rodríguez, 2015, "On the 1-Nucleolus for Classes of Cooperative Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-123/II, Nov.
  5. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-027/III, Feb, revised 07 Sep 2015.
  6. Siem Jan Koopman & Rutger Lit & André Lucas, 2015, "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-037/III/DSF90, Mar.
  7. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015, "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-076/IV/DSF94, Jul.
  8. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-083/III, Jul.
  9. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015, "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-131/III, Dec.
  10. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015, "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-138/III, Dec, revised 06 Jul 2018.
  11. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2015, "On the ambiguous consequences of omitting variables," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1505, revised May 2015.
  12. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015, "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 035, Jan, DOI: 10.26481/umagsb.2015035.
  13. Mikel Álvarez-Mozos & Rene van den Brink & Gerard van der Laan & Oriol Tejada, 2015, "From Hierarchies to Levels: New Solutions for Games with Hierarchical Structure," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 15/215, May.
  14. René van den Brink & Chris Dietz & Gerard van der Laan & Genjiu Xu, 2015, "Comparable Characterizations of Four Solutions for Permission Tree Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-021/II, Feb.
  15. Mikel Álvarez-Mozos & René van den Brink & Gerard van der Laan & Oriol Tejada, 2015, "From Hierarchies to Levels: New Solutions for Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-072/II, Jun.
  16. Yuyu Zeng & Harold Houba & Gerard van der Laan, 2015, "Note on ‘Competition in Two-sided Markets’," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-080/II, Jul.
  17. Encarnacion Algaba & René van den Brink & Chris Dietz, 2015, "Power Measures and Solutions for Games under Precedence Constraints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-007/II, Jan.
  18. René van den Brink & Simin He & Jia-Ping Huang, 2015, "Polluted River Problems and Games with a Permission Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-108/II, Sep.

2014

  1. Laurent Callot & Johannes Tang Kristensen, 2014, "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-41, Nov.
  2. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014, "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-42, Nov.
  3. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014, "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-44, Nov.
  4. Emiliya Lazarova & Peter Borm & Arantza Estévez-Fernández, 2014, "Transfers and Exchange-Stability in Two-Sided Matching Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-086/II, Jul.
  5. Arantza Estévez-Fernández & Peter Borm & M. Gloria Fiestras-Janeiro, 2014, "Nontransferable Utility Bankruptcy Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-030/II, Mar.
  6. Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014, "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-010/IV/DSF71, Jan.
  7. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014, "Maximum Likelihood Estimation for Score-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-029/III, Mar, revised 23 Oct 2017.
  8. Siem Jan Koopman & Rutger Lit & André Lucas, 2014, "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-032/IV/DSF73, Mar, revised 06 Jul 2015.
  9. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-046/III, Apr.
  10. Siem Jan Koopman & Geert Mesters, 2014, "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-061/III, May.
  11. Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014, "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-071/III, Jun.
  12. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014, "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-072/III, Jun.
  13. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-074/III, Jun.
  14. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-103/III, Aug.
  15. Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014, "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-105/III, Aug.
  16. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014, "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-107/III, Aug.
  17. Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014, "Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-113/III, Aug.
  18. István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014, "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-118/III, Sep, revised 31 Mar 2016.
  19. Jacques J.F. Commandeur & Suncica Vujic & Siem Jan Koopman & Barbara Kasprzyk-Hordern, 2014, "Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-135/III, Oct.
  20. Ines Lindner & Holger Strulik, 2014, "The Great Divergence: A Network Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-033/II, Mar.
  21. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014, "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-133/III, Oct.
  22. Rene van den Brink & Youngsub Chun & Yuan Ju, 2014, "Auctioning and Selling Positions: A Non-cooperative Approach to Queuing Conflicts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-016/II, Jan.

2013

  1. Estela Sánchez-Rodríguez & Peter Borm & Arantza Estévez-Fernández & M. Gloria Fiestras-Janeiro & Manuel A. Mosquera, 2013, "Characterizing the Core via k-Core Covers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-177/II, Oct.
  2. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013, "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank, number 1626, Dec.
  3. Maurice Koster & Sascha Kurz & Ines Lindner & Stefan Napel, 2013, "The Prediction Value," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-188/II, Nov.
    • Maurice Koster & Sascha Kurz & Ines Lindner & Stefan Napel, 2017, "The prediction value," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 48, issue 2, pages 433-460, February, DOI: 10.1007/s00355-016-1012-x.
  4. Jia-Ping Huang & Maurice Koster & Ines Lindner, 2013, "Diffusion of Behavior in Network Games Orchestrated by Social Learning," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-208/II, Dec.
  5. Magnus, Jan R & Vasnev, Andrey, 2013, "Practical use of sensitivity in econometrics with an illustration to forecast combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2013-04, Mar.
  6. Parrini, Alessandro, 2013, "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper, University Library of Munich, Germany, number 103745, Aug.
  7. Harold Houba & Gerard van der Laan & Yuyu Zeng, 2013, "Asymmetric Nash Solutions in the River Sharing Problem," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-051/II, Apr.
  8. Harold Houba & Gerard van der Laan & Yuyu Zeng, 2013, "International Environmental Agreements for River Sharing Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-157/II, Oct.
  9. Encarnación Algaba & Rene van den Brink & Chris Dietz, 2013, "Cooperative Games on Accessible Union Stable Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-207/II, Dec.
  10. René van den Brink & Enrique González-Aranguena & Conrado Manuel & Mónica del Pozo, 2013, "Order Monotonic Solutions for Generalized Characteristic Functions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-093/II, Jul.

2012

  1. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-16, 04.
  2. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-38, Jan.
  3. Arantza Estevez-Fernandez & Hans Reijnierse, 2012, "On the Core of Cost-Revenue Games: Minimum Cost Spanning Tree Games with Revenues," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-101/II, Sep.
  4. Arantza Estévez-Fernández & María Gloria Fiestras-Janeiro & Manuel Alfredo Mosquera & Estela Sánchez- Rodríguez, 2012, "A Bankruptcy Approach to the Core Cover," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-012/1, Feb.
  5. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2012, "Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008," Working Paper Series, European Central Bank, number 1459, Aug.
  6. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012, "Regime switches in the volatility and correlation of financial institutions," Working Paper Research, National Bank of Belgium, number 227, Oct.
  7. Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012, "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-007/4, Jan.
  8. Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen, 2012, "Fast Efficient Importance Sampling by State Space Methods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-008/4, Jan, revised 16 Oct 2014.
  9. Geert Mesters & Siem Jan Koopman, 2012, "Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-009/4, Feb, revised 18 Mar 2014.
  10. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-020/4, Mar.
  11. Falk Brauning & Siem Jan Koopman, 2012, "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-042/4, Apr.
  12. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012, "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-059/4, Jun.
  13. Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012, "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-076/4, Jul.
  14. Siem Jan Koopman & Rutger Lit, 2012, "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-099/III, Sep.
  15. Geert Mesters & Siem Jan Koopman, 2012, "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-110/III, Oct.
  16. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012, "WALS Prediction," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-043.
  17. Magnus, J.R. & Wang, W., 2012, "Concept-Based Bayesian Model Averaging and Growth Empirics," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-017.
  18. Parrini, Alessandro, 2012, "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper, University Library of Munich, Germany, number 38544, Apr.
  19. Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012, "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-31, Nov.
  20. Gerard van der Laan & Nigel Moes, 2012, "Transboundary Externalities and Property Rights: An International River Pollution Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-006/1, Jan.
  21. Rene van den Brink & Gerard van der Laan & Nigel Moes, 2012, "A Strategic Implementation of the Average Tree Solution for Cycle-Free Graph Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-050/1, May.
  22. Mikel Alvarez-Mozos & Rene van den Brink & Gerard van der Laan & Oriol Tejada, 2012, "Share Functions for Cooperative Games with Levels Structure of Cooperation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-052/1, May.
  23. Genjiu Xu & René van den Brink & Gerard van der Laan & Hao Sun, 2012, "Associated Consistency Characterization of Two Linear Values for TU Games by Matrix Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-105/II, Oct.
  24. Rene van den Brink & Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2012, "The Average Tree Permission Value for Games with a Permission Tree," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-023/II, Jan.
  25. Rene van den Brink & Chris Dietz, 2012, "Multi-Player Agents in Cooperative TU-Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-001/1, Jan.
  26. Rene van den Brink & Chris Dietz, 2012, "Games with a Local Permission Structure: Separation of Authority and Value Generation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-126/II, Nov.
  27. Conrado Manuel & Enrique Gonzalez-Aranguena & Rene van den Brink|, 2012, "Players Indifferent to cooperate and Characterizations of the Shapley Value," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-036/1, Apr.
  28. Rene van den Brink & Miklos Pinter, 2012, "On Axiomatizations of the Shapley Value for Assignment Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-092/II, Sep.
  29. Rene van den Brink & Youngsub Chun & Yukihiko Funaki & Boram Park, 2012, "Consistency, Population Solidarity, and Egalitarian Solutions for TU-Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-136/II, Dec.
  30. René van den Brink & Frank Steffen, 2012, "On the Measurement of Success and Satisfaction," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-030/1, Mar.

2011

  1. Rene van den Brink & Arantza Estevez-Fernandez & Gerard van der Laan & Nigel Moes, 2011, "Independence Axioms for Water Allocation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-128/1, Sep.
  2. Arantza Estevez-Fernandez, 2011, "New Characterizations for Largeness of the Core," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-086/1, Jun.
  3. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011, "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series, European Central Bank, number 1327, Apr.
  4. B. Jungbacker & S.J. Koopman & M. van Der Wel, 2011, "Maximum likelihood estimation for dynamic factor models with missing data," Post-Print, HAL, number hal-00828980, Jun, DOI: 10.1016/j.jedc.2011.03.009.
  5. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011, "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-057/4, Mar, revised 27 Jan 2012.
  6. Siem Jan Koopman & Michel van der Wel, 2011, "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-063/4, Apr.
  7. Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011, "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-078/2/DSF22, May.
  8. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011, "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-090/4, Jun.
  9. Siem Jan Koopman & Marcel Scharth, 2011, "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-132/4, Sep.
  10. Pawel Janus & Siem Jan Koopman & André Lucas, 2011, "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-175/2/DSF28, Dec.
  11. Lindner, Ines & Strulik, Holger, 2011, "From Tradition to Modernity: Economic Growth in a Small World," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-478, Aug.
  12. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011, "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0825, Dec.
  13. De Luca, G. & Magnus, J.R., 2011, "Bayesian Model Averaging and Weighted Average Least Squares : Equivariance, Stability, and Numerical Issues," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-082.
  14. Einmahl, J.H.J. & Magnus, J.R. & Kumar, K., 2011, "On the Choice of Prior in Bayesian Model Averaging," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-003.
  15. Poghosyan, K. & Magnus, J.R., 2011, "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-054.
  16. Douhou, S. & Magnus, J.R. & van Soest, A.H.O., 2011, "Peer Reporting and the Perception of Fairness," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-068.
  17. Van Tongeren, J.W. & Magnus, J.R., 2011, "Bayesian Integration of Large Scale SNA Data Frameworks with an Application to Guatemala," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-022.
  18. Magnus, J.R. & Melenberg, B. & Muris, C.H.M., 2011, "Global Warming and Local Dimming : The Statistical Evidence," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-004.
  19. Rene van den Brink & Ilya Katsev & Gerard van der Laan, 2011, "Games on Union Closed Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-036/1, Feb.
  20. Rene van den Brink & Anna Khmelnitskaya & Gerard van der Laan, 2011, "An Efficient and Fair Solution for Communication Graph Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-052/1, Mar.
  21. Rene van den Brink & Anna Khmelnitskaya & Gerard van der Laan, 2011, "An Owen-Type Value for Games with Two-Level Communication Structures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-089/1, Jun.
  22. Rene van den Brink & Gerard van der Laan & Nigel Moes, 2011, "Two Values for Transferable Utility Games with Coalition and Graph Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-164/1, Nov.
  23. René van den Brink & Agnieszka Rusinowska & Frank Steffen, 2011, "Measuring Power and Satisfaction in Societies with Opinion Leaders: An Axiomatization," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11018, Mar, DOI: 10.1007/s00355-012-0699-6.
  24. René van den Brink & Agnieszka Rusinowska & Frank Steffen, 2011, "Measuring Power and Satisfaction in Societies with Opinion Leaders: Dictator and Opinion Leader Properties," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00633881.
  25. Encarnacion Algaba & Jesus Mario Bilbao & Rene van den Brink, 2011, "Harsanyi Power Solutions for Games on Union Stable Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-182/1, Dec.
  26. Encarnacion Algaba & Jesus Mario Bilbao & Rene van den Brink & Jorge J. Lopez, 2011, "The Myerson Value and Superfluous Supports in Union Stable Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-127/1, Sep.

2010

  1. Martin Paldam & Laurent Callot, 2010, "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2010-01, Jan.
  2. Laurent A.F. Callot, 2010, "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-75, Dec.
  3. Arantza Estevez-Fernandez & Peter Borm & Herbert Hamers, 2010, "A Note on Passepartout Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-031/1, Mar.
  4. Laurent Ferrara & Koopman, S J., 2010, "Common business and housing market cycles in the Euro area from a multivariate decomposition," Working papers, Banque de France, number 275.
  5. Siem Jan Koopman & Andre Lucas & Bernd Schwaab, 2010, "Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-004/2, Jan, revised 24 Aug 2010.
  6. Charles S. Bos & Siem Jan Koopman, 2010, "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-017/4, Feb.
  7. Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010, "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-018/4, Feb.
  8. Drew Creal & Siem Jan Koopman & André Lucas, 2010, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-032/2, Mar.
  9. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010, "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-104/2/DSF 2, Oct, revised 29 Nov 2010.
  10. Flores Díaz, Ramón Jesús & Koster, Maurice & Lindner, Ines & Molina, Elisenda, 2010, "Networks and collective action," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws104830, Dec.
  11. Maurice Koster & Ines Lindner & Gordon McCormick & Guillermo Owen, 2010, "Terrorist Targeting, Information, and Secret Coalitions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-001/1, Jan.
  12. Masako Ikefuji & Jan R. Magnus & Hiroaki Sakamoto, 2010, "Climate change, economic growth, and health," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0785, Aug.
  13. Douhou, S. & Magnus, J.R. & van Soest, A.H.O., 2010, "The Perception of Small Crime," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-115.
  14. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-122.
  15. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Scrap Value Functions in Dynamic Decision Problems," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-77.
  16. Ji, K. & Magnus, J.R. & Wang, W., 2010, "Resource Abundance and Resource Dependence in China," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-109.
  17. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Burr Utility," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-81.
    • Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010, "Burr Utility," Other publications TiSEM, Tilburg University, School of Economics and Management, number fddee215-edea-4800-ba72-d.
  18. Parrini, Alessandro & Doretti, Marco & Lapini, Gabriele, 2010, "Modelli a Equazioni Strutturali per la Valutazione dell'Esperienza Universitaria nell'Ateneo Fiorentino
    [Structural Equation Models for the assessment of the University experience at the University of Florence]    ," MPRA Paper, University Library of Munich, Germany, number 43412, Jun.
  19. Rene van den Brink & Gerard van der Laan & Nigel Moes, 2010, "Fair Agreements for Sharing International Rivers with Multiple Springs and Externalities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-096/1, Sep.
  20. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2010, "Combinatorial integer labeling theorems on finite sets with applications," Other publications TiSEM, Tilburg University, School of Economics and Management, number ad8b5690-7516-41b6-b034-7.
  21. Rene van den Brink & Youngsub Chun, 2010, "Balanced Consistency and Balanced Cost Reduction for Sequencing Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-035/1, Mar.
  22. Rene van den Brink & Yukihiko Funaki, 2010, "Axiomatization and Implementation of Discounted Shapley Values," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-065/1, Jul.

2009

  1. Estevez Fernandez, M.A. & Borm, P.E.M. & Meertens, M. & Reijnierse, J.H., 2009, "On the core of routing games with revenues," Other publications TiSEM, Tilburg University, School of Economics and Management, number 09bc6e81-943f-466a-b86f-f.
  2. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009, "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-39, Sep.
  3. Drew Creal & Siem Jan Koopman & Andre Lucas, 2009, "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-038, Mar.
  4. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009, "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-010/4, Feb, revised 11 Mar 2011.
  5. Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009, "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-110/4, Dec.
  6. Boldea, Otilia & Magnus, Jan R., 2009, "Maximum Likelihood Estimation of the Multivariate Normal Mixture Model," MPRA Paper, University Library of Munich, Germany, number 23149.
  7. Parrini, Alessandro, 2009, "Algoritmi di flusso massimo al minimo costo
    [Maximum flow - minimum cost algorithms]    ," MPRA Paper, University Library of Munich, Germany, number 39759, Oct.
  8. HERINGS, P. Jean-Jacques & van der LAAN, Gerard & TALMAN, Dolf & YANG, Zaifu, 2009, "A fixed point theorem for discontinuous functions," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2154, Jan, DOI: 10.1016/j.orl.2007.03.008.
  9. HERINGS, P. Jean-Jacques & van der LAAN, Gerard & TALMAN, Dolf, 2009, "The average tree solution for cycle-free graph games," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2155, Jan, DOI: 10.1016/j.geb.2007.03.007.
  10. Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009, "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-062/1, Jul.
  11. Rene van den Brink & Ilya Katsev & Gerard van der Laan, 2009, "Axiomatizations of Two Types of Shapley Values for Games on Union Closed Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-064/1, Jul.
  12. Rene van der Brink & Agnieszka Rusinowska & Frank Steffen, 2009, "Measuring Power and Satisfaction in Societies with Opinion Leaders: Properties of the Qualified Majority Case," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0901.
  13. Rene van den Brink, 2009, "Efficiency and Collusion Neutrality of Solutions for Cooperative TU-Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-065/1, Jul.
  14. René van den Brink, 2009, "Comparable Axiomatizations of the Myerson Value, the Restricted Banzhaf Value, Hierarchical Outcomes and the Average Tree Solution for Cycle-Free Graph Restricted Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-108/1, Nov.

2008

  1. Estevez Fernandez, M.A., 2008, "A Game Theoretical Approach to Sharing Penalties and Rewards in Projects," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-84.
  2. Borus Jungbacker & Siem Jan Koopman, 2008, "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-007/4, Jan, revised 20 Mar 2014.
  3. V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
  4. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008, "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-029/4, Mar.
  5. Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008, "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-040/4, Apr.
  6. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008, "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-069/4, Jul.
  7. Siem Jan Koopman & Soon Yip Wong, 2008, "Spline Smoothing over Difficult Regions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-114/4, Nov.
  8. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008, "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers, University of Washington, Department of Economics, number UWEC-2008-15-FC, Aug.
  9. Magnus, J.R. & Powell, O.R. & Prüfer, P., 2008, "A Comparison of Two Averaging Techniques with an Application to Growth Empirics," Discussion Paper, Tilburg University, Center for Economic Research, number 2008-39.
  10. Klaassen, F.J.G.M. & Magnus, J.R., 2008, "De kans om een tenniswedstrijd te winnen : Federer-Nadal in de finale van Wimbeldon 2007," Other publications TiSEM, Tilburg University, School of Economics and Management, number a32cb340-f8f0-46e6-9e46-4.
  11. Ooms, M., 2008, "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0021.
  12. Gerard van der Laan & Zaifu Yang, 2008, "An Ascending Multi-Item Auction with Financially Constrained Bidders," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-017/1, Feb.
  13. Rene van den Brink & Yukihiko Funaki & Gerard van der Laan, 2008, "The Reverse Talmud Rule for Bankruptcy Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-026/1, Mar, revised 27 Mar 2008.
  14. René van den Brink & Ilya Katsev & Gerard van der Laan, 2008, "Computation of the Nucleolus for a Class of Disjunctive Games with a Permission Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-060/1, Jun.
  15. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman & Zaifu Yang, 2008, "The Average Tree Solution for Cooperative Games with Communication Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-083/1, Sep.
  16. René van den Brink & Ilya Katsev & Gerard van der Laan, 2008, "An Algorithm for Computing the Nucleolus of Disjunctive Additive Games with An Acyclic Permission Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-104/1, Oct.
  17. Enrique González-Arangüena & Conrado Manuel & Daniel Gomez & René van den Brink, 2008, "A Value for Directed Communication Situations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-006/1, Jan.
  18. René van den Brink & Frank Steffen, 2008, "Axiomatizations of a Positional Power Score and Measure for Hierarchies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-115/1, Nov.
  19. van den Brink, J.R. & Borm, P.E.M. & Hendrickx, R.L.P. & Owen, G., 2008, "Characterizations of the beta- and the degree network power measure," Other publications TiSEM, Tilburg University, School of Economics and Management, number 101ef139-cc05-4b30-bef5-1.
  20. van den Brink, J.R. & Ruys, P.H.M., 2008, "Technology driven organizational structure of the firm," Other publications TiSEM, Tilburg University, School of Economics and Management, number 417827ae-0c53-4d1e-8f55-1.

2007

  1. Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2007, "Project games," Other publications TiSEM, Tilburg University, School of Economics and Management, number 809ba203-2bd2-48ce-ae6d-b.
  2. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007, "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-44, Dec.
  3. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007, "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-027/4, Mar.
  4. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007, "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-095/4, Dec.
  5. Jan R. Magnus & Karim M. Abadir, 2007, "On some definitions in matrix algebra," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-476, Feb.
  6. Dmitry Danilov & Jan R. Magnus, 2007, "On the estimation of a large sparse Bayesian system: the Snaer program," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-478, Feb.
  7. Jan R. Magnus, 2007, "The asymptotic variance of the pseudo maximum likelihood estimator," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-479, Mar.
  8. René van den Brink & Gerard van der Laan & Valeri Vasil'ev, 2007, "Distributing Dividends in Games with Ordered Players," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-114/1, Jan.
  9. Gerard van der Laan & Dolf Talman & Zaifu Yang, 2007, "Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-084/1, Oct.
  10. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007, "A vector labeling method for solving discrete zero point and complementarity problems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 070869d0-4e42-4d34-85f9-b.
  11. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J., 2007, "Socially structured games," Other publications TiSEM, Tilburg University, School of Economics and Management, number c2546c5b-249a-44a8-b917-7.
  12. Rene van den Brink & Rene Levinsky & Miroslav Zeleny, 2007, "The balanced solution for cooperative transferable utility games," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2007-073, Oct.
  13. René van den Brink & Frank Steffen, 2007, "Positional Power in Hierarchies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-038/1, May.
  14. René van den Brink & Yukihiko Funaki & Yuan Ju, 2007, "Consistency, Monotonicity and Implementation of Egalitarian Shapley Values," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-062/1, Aug.

2006

  1. Estevez Fernandez, M.A., 2006, "Cooperative behavior, competition and operations research," Other publications TiSEM, Tilburg University, School of Economics and Management, number 89866d9a-2195-469c-a13f-0.
  2. Estevez Fernandez, M.A. & Mosquera, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2006, "Proportionate Flow Shop Games," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-63.
  3. Alessandra Amendola & Christian Francq & Siem Jan Koopman, 2006, "Special Issue on Nonlinear Modelling and Financial Econometrics," Post-Print, HAL, number hal-05431350, Dec, DOI: 10.1016/J.CSDA.2006.09.022.
  4. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006, "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-023/2, Mar.
  5. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006, "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-101/4, Nov.
  6. Siem Jan Koopman & Soon Yip Wong, 2006, "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-105/4, Nov.
  7. Franc J.G.M. Klaasen & Jan R. Magnus, 2006, "Are Economic Agents Successful Optimizers? An Analysis through Service Strategy in Tennis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-048/2, May.
  8. Einmahl, J.H.J. & Magnus, J.R., 2006, "Records in Athletics through Extreme-Value Theory," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-83.
  9. Klaassen, F.J.G.M. & Magnus, J.R., 2006, "Are Economic Agents Successful Optimizers? An Analysis Through Strategy in Tennis," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-52.
  10. Randt, U. & Magnus, J.R., 2006, "Von Hamburg nach Berlin im sommer 1841 : Emma Isler berichtet," Other publications TiSEM, Tilburg University, School of Economics and Management, number 77df8d62-94c7-4305-8d85-0.
  11. Jurjen Kamphorst & Gerard van der Laan, 2006, "Learning in a Local Interaction Hawk-Dove Game," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-034/1, Mar.
  12. René van den Brink, 2006, "On Hierarchies and Communication," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-056/1, Jul.

2005

  1. Borm, P.E.M. & Estevez Fernandez, M.A. & Fiestras-Janeiro, G., 2005, "Competitive Environments and Protective Behaviour," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-50.
  2. B. Jungbacker & S.J. Koopman, 2005, "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-002/4, Jan.
  3. Siem Jan Koopman & André Lucas & Robert Daniels, 2005, "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-060/4, Jun.
  4. Siem Jan Koopman & André Lucas & André Monteiro, 2005, "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-071/4, Jun, revised 04 Jul 2005.
  5. Siem Jan Koopman & Kai Ming Lee, 2005, "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-081/4, Aug.
  6. Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005, "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-091/4, Oct.
  7. Borus Jungbacker & Siem Jan Koopman, 2005, "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-117/4, Dec.
  8. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005, "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-118/4, Dec.
  9. LINDNER, Ines, 2005, "Voting games with abstention : A probabilistic characterization of power and a special case of Penrose’s Limit Theorem," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005078, Nov.
  10. LINDNER, Ines, 2005, "Preference aggregation versus truth-tracking: asymptotic properties of a related story," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005002, Jan.
  11. Jurgen A. Doornik & Marius Ooms, 2005, "Outlier Detection in GARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W24, Sep.
  12. Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005, "Computing Integral Solutions of Complementarity Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-006/1, Jan.
  13. Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005, "Solving Discrete Zero Point Problems with Vector Labeling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-106/1, Nov.
  14. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2005, "The Component Fairness Solution for Cycle-free Graph Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-114/1, Dec.
  15. Candelon, B. & Kool, C.J.M. & Raabe, K. & van Veen, A.P., 2005, "The feasibility of a fixed exchange rate regime for new EU-members: evidence from real exchange rates," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 011, Jan, DOI: 10.26481/umamet.2005011.
  16. Heinz, S. & Krumke, S.O. & Megow, N. & Rambau, J. & Tuscherer, A. & Vredeveld, T., 2005, "The online target date assignment problem," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 056, Jan, DOI: 10.26481/umamet.2005056.
  17. René van den Brink & Peter Borm & Ruud Hendrickx & Guillermo Owen, 2005, "Characterizations of Network Power Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-061/1, Jun.
  18. Rene van den Brink & Pieter H.M. Ruys, 2005, "Positional Wages, Market Wages and Firm Size," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-020/1, Feb.
  19. van den Brink, J.R. & Ruys, P.H.M., 2005, "Technological Change, Wages and Firm Size," Discussion Paper, Tilburg University, Tilburg Law and Economic Center, number 2005-022.

2004

  1. Estevez Fernandez, M.A. & Borm, P.E.M. & Calleja, P. & Hamers, H.J.M., 2004, "Sequencing Games with Repeated Players," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-128.
  2. Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2004, ""The Museum Pass Game and its Value" Revisited," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-7.
  3. Calleja, P. & Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2004, "Job Scheduling, Cooperation and Control," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-65.
  4. Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004, "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings, Econometric Society, number 158, Aug.
  5. Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004, "Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements," Computing in Economics and Finance 2004, Society for Computational Economics, number 342, Aug.
  6. Siem Jan Koopman & Marius Ooms, 2004, "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-135/4, Dec.
  7. Ines Lindner & Holger Strulik, 2004, "Social Fractionalization, Endogenous Property Rights, and Economic Development," Discussion Papers, University of Copenhagen. Department of Economics, number 04-27, Nov.
  8. Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-105.
  9. Jurjen Kamphorst & Gerard van der Laan, 2004, "Network Formation under Heterogeneous Costs: The Multiple Group Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-006/1, Jan.
  10. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2004, "The Socially Stable Core in Structured Transferable Utility Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-043/1, Apr.
  11. René van den Brink & Gerard van der Laan & Valeri Vasil'ev, 2004, "On the Extreme Points of Two Polytopes associated with a Digraph and Applications to Cooperative Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-069/1, Jun.
  12. René van den Brink & Gerard van der Laan & Vitaly Pruzhansky, 2004, "Harsanyi Power Solutions for Graph-restricted Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-095/1, Aug.
  13. Gerard van der Laan & Dolf Talman & Zaifu Yang, 2004, "Solving Discrete Zero Point Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-112/1, Oct.
  14. Gerard van der Laan & Vitaly Pruzhansky, 2004, "Demand Adjustment in Coalitional Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-121/1, Nov.
  15. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J., 2004, "Equilibria with Coordination Failures," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-107.
  16. Woltjer, G.B., 2004, "An efficient format for a problem based introductory economics course," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 015, Jan, DOI: 10.26481/umamet.2004015.
  17. Rene van den Brink & Robert P. Gilles, 2004, "Explicit and Latent Authority in Hierarchical Organizations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 393, Aug.
  18. René van den Brink, 2004, "Null or Zero Players: The Difference between the Shapley Value and the Egalitarian Solution," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-127/1, Nov.
  19. René van den Brink & Yukihiko Funaki, 2004, "Axiomatizations of a Class of Equal Surplus Sharing Solutions for Cooperative Games with Transferable Utility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-136/1, Dec.

2003

  1. Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2003, "On the Core of Multiple Longest Traveling Salesman Games," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-127.
  2. António Rua & João Valle e Azevedo & Siem Jan Koopman, 2003, "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department, number w200316.
  3. Rob Luginbuhl & Siem Jan Koopman, 2003, "Convergence in European GDP Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-031/4, Apr.
  4. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003, "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-037/2, May, revised 13 Oct 2003.
  5. Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman, 2003, "Intervention Time Series Analysis of Crime Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-040/4, Jun.
  6. Siem Jan Koopman & Joao Valle e Azevedo, 2003, "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-052/4, Jun.
  7. Siem Jan Koopman & André Lucas, 2003, "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-062/2, Jul, revised 09 Jan 2003.
  8. Magnus, J.R. & Sinha, A.K., 2003, "On Theil's Errors," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-18.
  9. Abadir, K.M. & Magnus, J.R., 2003, "The central limit theorem for student's distribution (problem 03.6.1)," Other publications TiSEM, Tilburg University, School of Economics and Management, number db2f431c-4bcc-4b10-8119-a.
  10. Abadir, K.M. & Magnus, J.R., 2003, "Normal's deconvolution and the independence of sample mean and variance (problem 03.4.1)," Other publications TiSEM, Tilburg University, School of Economics and Management, number fcb946a3-e8de-48b3-9487-9.
  11. Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
  12. René van den Brink & Gerard van der Laan & Valeri Vasil'ev, 2003, "Harsanyi Solutions in Line-graph Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-076/1, Sep.
  13. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J., 2003, "Socially Structured Games and their Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-40.
  14. René van den Brink, 2003, "Axiomatizations of Permission Values for Games with a Hierarchical Permission Structure using Split Neutrality," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-100/1, Dec.

2002

  1. Siem Jan Koopman & Neil Shephard, 2002, "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W17, Jun.
  2. Eugenie Hol & Siem Jan Koopman, 2002, "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-068/4, Jun.
  3. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002, "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-107/2, Oct.
  4. Siem Jan Koopman & Charles S. Bos, 2002, "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-113/4, Nov.
  5. Danilov, D.L. & Magnus, J.R., 2002, "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-77.
  6. Danilov, D.L. & Magnus, J.R., 2002, "Forecast Accuracy after Pretesting with an Application to the Stock Market," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-76.
  7. Magnus, J.R., 2002, "On the sensitivity of the t-statistic," Other publications TiSEM, Tilburg University, School of Economics and Management, number cc3249a4-4ce5-4d34-910e-c.
  8. Jean Derks & Gerard van der Laan & Valeri Vasil'ev, 2002, "On Harsanyi Payoff Vectors and the Weber Set," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-105/1, Oct.
  9. van der Laan, G. & Talman, A.J.J., 2002, "Dynamic Adjustment of Supply Constrained Disequilibria to Walrasian Equilibrium," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-61.
  10. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2002, "Existence and welfare properties of equilibrium in an exchange economy with multiple divisible and indivisible commodities and linear production," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5a5610bf-4f85-4a25-963c-c.
  11. Predtetchinski, A. & Herings, P.J.J. & Perea ý Monsuwé, A., 2002, "The weak sequential core for two-period economies," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 011, Jan, DOI: 10.26481/umamet.2002011.
  12. E. Algaba & J.M. Bilbao & R. van den Brink & A. Jiménez-Losada, 2002, "An Axiomatization of the Banzhaf Value for Cooperative Games on Antimatroids," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-110/1, Oct.
  13. Borm, P.E.M. & van den Brink, J.R. & Slikker, M., 2002, "An iterative procedure for evaluating digraph competitions," Other publications TiSEM, Tilburg University, School of Economics and Management, number 40ae2ec2-efdb-48f6-905c-5.

2001

  1. Koopman, S.J. & Franses, Ph.H.B.F., 2001, "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-02, Jan.
  2. J. Durbin and S.J. Koopman, 2001, "An efficient and simple simulation smoother for state space time series analysis," Computing in Economics and Finance 2001, Society for Computational Economics, number 52, Apr.
  3. Klaassen, F.J.G.M. & Magnus, J.R., 2001, "Forecasting the Winner of a Tennis Match," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-38.
  4. Abadir, K.M. & Magnus, J.R., 2001, "Notation in Econometrics : A Proposal for a Standard," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-8.
  5. Danilov, D.L. & Magnus, J.R., 2001, "On the Harm that Pretesting Does," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-37.
  6. Magnus, J.R. & Klaassen, F.J.G.M., 2001, "Some properties of a generalized two-error components matrix (problem 01.5.1)," Other publications TiSEM, Tilburg University, School of Economics and Management, number d0333592-b1c1-4294-bcf5-b.
  7. Jurgen A. Doornik & Marius Ooms, 2001, "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W27, Nov.
  8. Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001, "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-029/4, Mar.
  9. Valeri Vasil'ev & Gerard van der Laan, 2001, "The Harsanyi Set for Cooperative TU-Games," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-004/1, Jan.
  10. Gerard van der Laan & Pieter Ruys & Dolf Talman, 2001, "Optimal Provision of Infrastructure using Public-Private Partnership Contracts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-011/1, Jan.
  11. René van den Brink & Gerard van der Laan, 2001, "A Class of Consistent Share Functions for Games in Coalition Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-044/1, Apr.
  12. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2001, "Measuring the Power of Nodes in Digraphs," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-096/1, Oct.
  13. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2001, "Quantity Constrained Equilibria," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-116/1, Dec.
  14. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2001, "Existence of balanced simplices on polytopes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4240b1b6-949e-4d15-942e-8.
  15. Algaba, A. & Bilbao, J.M. & van den Brink, J.R. & Jiménez-Losada, A., 2001, "Axiomatizations of the Shapley Value for Cooperative Games on Antimatroids," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-99.

2000

  1. A. C. Harvey & Siem Jan Koopman, 2000, "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0888, Aug.
  2. Siem Jan Koopman & Eugenie Hol Uspensky, 2000, "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-024/4, Mar.
  3. Eugenie Hol & Siem Jan Koopman, 2000, "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-104/4, Nov.
  4. Lindner, I. & Strulik, H., 2000, "Property Rights and Growth," Faechergruppe Volkswirtschaftlehre, University of Hamburg, Institute of Economics, number 111.
  5. Magnus, J.R. & Rothenberg, T.J., 2000, "Least squares autoregression with near-unit root," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1462fa47-39b5-4063-a0c2-0.
  6. Magnus, J.R. & Klaassen, F.J.G.M., 2000, "How to reduce the service dominance in tennis? Empirical results from four years at Wimbledon," Other publications TiSEM, Tilburg University, School of Economics and Management, number 438f231d-7989-463c-a193-f.
  7. Magnus, J.R. & Danilov, D.L., 2000, "The maximum number of omitted variables, Problem 00.2.2," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6fc1da96-37ba-4a75-b244-a.
  8. Jurgen A. Doornik & Marius Ooms, 2000, "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0798, Aug.
  9. Gerard van der Laan & Cees Withagen, 2000, "General Equilibrium in Economies with Infinite Dimensional Commodity Spaces: A Truncation Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-023/1, Mar.
  10. P. Jean-Jacques Herings & Gerard van der Laan & Dolf Talman, 2000, "Cooperative Games in Graph Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-072/1, Aug.
  11. Kool, C.J.M., 2000, "International bond markets and the introduction of the euro," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 011, Jan, DOI: 10.26481/umamet.2000011.
  12. Borm, P.E.M. & van den Brink, J.R. & Levinsky, R. & Slikker, M., 2000, "On Two New Social Choice Correspondences," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-125.
  13. Algaba, A. & Bilbao, J.M. & van den Brink, J.R. & Jiménez-Losada, A., 2000, "Cooperative Games on Antimatroids," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-124.

1999

  1. Siem Jan Koopman, 1999, "Fast Estimation of Parameters in State Space Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 311, Mar.
  2. Marius Ooms & Björn de Groot & Siem Jan Koopman, 1999, "Time-Series Modelling of Daily Tax Revenues," Computing in Economics and Finance 1999, Society for Computational Economics, number 312, Mar.
  3. Harvey, A.C. & Koopman, S.J.M., 1999, "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-44.
  4. Holger Strulik & Ines Lindner, 1999, "Why not Africa? -- Growth and Welfare Effects of Secure Property Rights," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 19909, Oct.
  5. Magnus, J.R. & Fontein, P.F. & Thijssen, G.J. & Dijk, J., 1999, "Optimal taxation for the reduction of nitrogen surplus in Dutch dairy farms, 1975 to 1989," Other publications TiSEM, Tilburg University, School of Economics and Management, number 570ae6fd-c394-4815-89ea-5.
  6. Magnus, J.R. & Van Tongeren, J.W. & de Vos, A.F., 1999, "Macro accounts estimation using indicator ratios," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6288557a-ba2b-4d15-96e3-e.
  7. Ooms, M. & Doornik, J.A., 1999, "Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9947/A, Dec.
  8. Korporaal, R. & Ridder, A.A.N. & Kloprogge, P. & Dekker, R., 1999, "Capacity planning of prisons in the Netherlands," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9909-/A, Mar.
  9. van den Brink, J.R. & van der Laan, G., 1999, "Core Concepts for Share Vectors," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-64.
  10. van den Brink, J.R. & van der Laan, G., 1999, "Potentials and Reduced Games for Share Functions," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-41.
  11. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 1999, "Existence and Welfare Properties of Equilibrium in an Exchange Economy with Multiple Divisible, Indivisible Commodities and Linear Production Technologies," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-76.
  12. Ruys, P.H.M. & van den Brink, J.R. & Semenov, R., 1999, "Values and Governance Systems," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-66.
    • Pieter H.M. Ruys & René van den Brink & Radislav Semenov, 2000, "Values and governance systems," Chapters, Edward Elgar Publishing, chapter 27, in: Claude Ménard, "Institutions, Contracts and Organizations".
  13. van den Brink, J.R. & Ruys, P.H.M. & Semenov, R., 1999, "Governance of Clubs and Firms with Cultural Dimensions," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-101.
  14. van den Brink, J.R., 1999, "An Axiomatization of the Shapley Value Using a Fairness Property," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-120.

1998

  1. Koopman, S.J.M. & Durbin, J., 1998, "Fast Filtering and Smoothing for Multivariate State Space Models," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-18.
  2. Durbin, J. & Koopman, S.J.M., 1998, "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-142.
  3. Koopman, S.J.M. & Lai, H.N., 1998, "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-032.
  4. Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998, "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-141.
  5. Klaassen, F.J.G.M. & Magnus, J.R., 1998, "On the Independence and Identical Distribution of Points in Tennis," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-53.
  6. Ooms, M. & Franses, Ph.H.B.F., 1998, "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9842, Sep.
  7. Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998, "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9811, Jul.
  8. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J., 1998, "Price-Quantity Adjustment in a Keynesian Economy," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-118.
  9. van der Laan, G. & van den Brink, J.R., 1998, "A Banzhaf share function for cooperative games in coalition structure," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-66.
  10. van den Brink, J.R. & van der Laan, G., 1998, "The Normalized Banzhaf Value and the Banzhaf Share Function," Research Memorandum, Tilburg University, School of Economics and Management, number 764.
  11. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 1998, "Cooperative games in permutational structure," Other publications TiSEM, Tilburg University, School of Economics and Management, number 94dd61cf-8471-40af-8cc8-4.
  12. Alexander F. Tieman & Harold Houba & Gerard van der Laan, 1998, "Cooperation in a Multi-Dimensional Local Interaction Model," Game Theory and Information, University Library of Munich, Germany, number 9803002, Mar.

1997

  1. Andrew C Harvey & Siem Jan Koopman & J Penzer, 1997, "Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 327, Mar.
  2. F.A.G. den Butter & S.J. Koopman, 1997, "Interaction between Supply and Demand Shocks in Production and Employment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 97-052/3, May.
  3. Banerjee, A.N. & Magnus, J.R., 1997, "On the sensitivity of the usual t-and f-tests to AR(1) misspecification," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-90.
  4. Magnus, J.R. & Morgan, M.S., 1997, "The data : A brief description," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4bdd1a8c-adbb-4786-9fc1-b.
  5. Magnus, J.R. & Morgan, M.S., 1997, "Organization of the experiment," Other publications TiSEM, Tilburg University, School of Economics and Management, number 64345f81-09e1-498f-b6de-c.
  6. Magnus, J.R. & Klaassen, F.J.G.M., 1997, "Testing some common hypotheses : Four years at Wimbledon," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6eb3ef49-41a1-4d3a-80f2-f.
  7. Magnus, J.R. & Morgan, M.S., 1997, "Design of the experiment," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d946f6d-a95f-40de-a3a5-c.
  8. Magnus, J.R. & Klaassen, F.J.G.M., 1997, "Wat tenniscommentatoren niet weten : Een analyse van vier jaar Wimbledon," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8daf150f-987c-464a-807d-6.
  9. Eisinga, R. & Franses, Ph.H.B.F. & Ooms, M., 1997, "Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9709-/A, Jan.
  10. van der Laan, G. & Talman, A.J.J., 1997, "Van vast punt tot evenwicht," Other publications TiSEM, Tilburg University, School of Economics and Management, number 28485ca9-3482-4e4d-97ce-2.

1996

  1. Andrew C Harvey & Siem Jan Koopman, 1996, "Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 307, Mar.
  2. Sandmann, G. & Koopman, Siem, 1996, "Maximum likelihood estimation of stochastic volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119161, Jun.
  3. Butter, Frank A.G. den & Koopman, S.J., 1996, "Interaction between supply and demand in production and employment," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0025.
  4. Magnus, J.R. & Durbin, J., 1996, "A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-60.
  5. Magnus, J.R. & Klaassen, F.J.G.M., 1996, "Testing some common tennis hypotheses : Four years at Wimbledon," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-73.
  6. Banerjee, A.N. & Magnus, J.R., 1996, "Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-54.
  7. Ooms, M. & Hassler, U., 1996, "A Note on the Effect of Seasonal Dummies on the Periodogram Regression," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9629-/A, Jan.
  8. Herings, P. Jean-Jacques & van der Laan, Gerard & Venniker, Richard, 1996, "The Transition from a Drèze Equilibrium to a Walrasian Equilibrium," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1996013, Apr.
  9. Xander F. Tieman & Gerard van der Laan & Harold Houba, 1996, "Bertrand Price Competition in a Social Environment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 96-140/8, Sep.
  10. Gerard van der Laan & A.F. Tieman, 1996, "Evolutionary Game Theory and the Modelling of Economic Behavior," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 96-172/8, Nov.
  11. Eaves, C. & van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 1996, "Balanced Simplices on Polytopes," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-25.
  12. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 1996, "Existence and approximation of robust stationary points on polytopes," Discussion Paper, Tilburg University, Center for Economic Research, number 96.103.
  13. van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 1996, "Existence of an Equilibrium in a Competitive Economy with Indivisibilities and Money," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-35.
  14. van den Brink, J.R. & Ruys, P.H.M., 1996, "The internal organization of the firm and its external environment," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-113.
  15. van den Brink, J.R., 1996, "Skewness of the wage distribution in a firm and the substitutability of labor inputs," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 739.

1995

  1. Andrew C Harvey & Siem Jan Koopman & Marco Riani, 1995, "The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 284, Aug.
  2. Keuzenkamp, H.A. & Magnus, J.R., 1995, "The significance of testing in econometrics," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8c3eaa65-433c-4cb9-a31e-a.
  3. Magnus, J.R. & Morgan, M.S., 1995, "An experiment in applied econometrics," Other publications TiSEM, Tilburg University, School of Economics and Management, number a61c0907-aba4-4d79-9b0e-7.
  4. Ooms, M., 1995, "Flexible Seasonal Long Memory and Economic Time Series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9515-/A, Jan.

1994

  1. Keuzenkamp, H.A. & Magnus, J.R., 1994, "On tests and significance in econometrics," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-31.
  2. Fontein, P.F. & Thijssen, G.J. & Magnus, J.R. & Dijk, J., 1994, "On levies to reduce the nitrogen surplus : The case of Dutch pig farms," Other publications TiSEM, Tilburg University, School of Economics and Management, number 80174da5-111a-4bed-a740-8.
  3. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J. & Venniker, R., 1994, "Equilibrium adjustment of disequilibrium prices," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-84.
  4. van der Laan, G. & Talman, A.J.J. & Yang, Z., 1994, "Intersection theorems on polytopes," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-20.
  5. van der Laan, G. & Talman, A.J.J. & Yang, Z., 1994, "Modelling cooperative games in permutational structure," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-43.
  6. van den Brink, J.R. & Gilles, R.P., 1994, "Ranking the nodes in directed and weighted directed graphs," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-21.
  7. van den Brink, J.R. & Borm, P.E.M., 1994, "Digraph competitions and cooperative games," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-24.
  8. van den Brink, J.R., 1994, "A note on the t-value and t-related solution concepts," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 652.

1993

  1. Magnus, J.R. & Pesaran, B., 1993, "The evaluation of moments of ratios of quadratic forms in normal variables and related statistics (QRMOM) : Technical description," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5dfb53b7-482b-45bf-9647-e.
  2. Magnus, J.R. & Pesaran, B., 1993, "The evaluation of cumulants and moments of quadratic forms in normal variables (CUM) : Technical description," Other publications TiSEM, Tilburg University, School of Economics and Management, number b8c135e0-92e2-4a8b-9d52-9.
  3. Magnus, J.R. & Pesaran, B., 1993, "Evaluation of moments of quadratic forms and ratios of quadratic forms in normal variables : background, motivation and examples," Other publications TiSEM, Tilburg University, School of Economics and Management, number e2bddcbe-db63-498f-951f-b.
  4. Ridder, A., 1993, "On a stochastic ordering for random vectors and multidimensional Markov chains," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0028.
  5. Ridder, A., 1993, "Fast simulation of Markov fluid models," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0021.
  6. Ridder, A., 1993, "Notes on stochastic orderings on lattices," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0029.
  7. van der Laan, G. & Talman, D., 1993, "Intersection Theorems on the Simplotope," Papers, Tilburg - Center for Economic Research, number 9370.

1992

  1. Siem Jan Koopman & N.G. Shephard, 1992, "Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 241.
  2. Magnus, J.R., 1992, "On the fundamental bordered matrix of linear estimation," Other publications TiSEM, Tilburg University, School of Economics and Management, number 58a07a44-c048-4a11-9b7e-4.
  3. van der Laan, G. & Talman, A.J.J. & Kremers, J.A.W.M., 1992, "On the existence and computation of an equilibrium in an economy with constant returns to scale production," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 577.
  4. van den Brink, J.R. & Gilles, R.P., 1992, "Measuring domination in directed graphs," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 565.

1991

  1. Magnus, J.R. & Pesaran, B., 1991, "The bias of forecasts from a first-order autoregression," Other publications TiSEM, Tilburg University, School of Economics and Management, number 346d080a-99dc-493f-9a95-6.
  2. Gerlagh, R. & Laan, G. van der, 1991, "Monotone improvement of the social welfare in an industrial network," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0073.
  3. Gilles, R.P. & Owen, G. & van den Brink, J.R., 1991, "Games with permission structures : The conjunctive approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1991-14.
  4. van den Brink, J.R. & Gilles, R.P., 1991, "Axiomatizations of the conjunctive permission value for games with permission structures," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 485.

1990

  1. Magnus, J.R. & Pesaran, B., 1990, "Forecasting, Misspecification And Unit Roots: The Case Of Ar(1) Versus Arma (1,1)," Papers, Tilburg - Center for Economic Research, number 9002.
  2. Magnus, J.R. & Pesaran, B., 1990, "Evaluation Of Moments Of Ratios Of Quadratic Forms In Normal Variables And Related Statistics," Papers, Tilburg - Center for Economic Research, number 9019.
  3. Magnus, J.R. & Pesaran, B., 1990, "Evaluation Of Moment Of Quadratic Forms In Normal Variables," Papers, Tilburg - Center for Economic Research, number 9021.
  4. Magnus, J.R. & Woodland, A.D., 1990, "Separability and aggregation," Other publications TiSEM, Tilburg University, School of Economics and Management, number 271155a7-e737-47ef-867b-3.
  5. Magnus, J.R. & Pesaran, B., 1990, "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Other publications TiSEM, Tilburg University, School of Economics and Management, number 7e639692-03d0-4464-a966-8.
  6. Magnus, J.R., 1990, "On certain moments relating to ratios of quadratic forms in normal variables : Further results," Other publications TiSEM, Tilburg University, School of Economics and Management, number ee6e9beb-1fbb-4232-9571-6.
  7. Van Den Elzen, A. & Van Der Laan, G. & Talman, D., 1990, "An Adjustment Process For An Exchange Economy With Linear Production Technologies," Papers, Tilburg - Center for Economic Research, number 9015.
  8. van der Laan, G. & Ruys, P.H.M. & Talman, A.J.J., 1990, "Signaling devices for the supply of semi-public goods," Other publications TiSEM, Tilburg University, School of Economics and Management, number 44434ec2-af48-4f42-8054-0.
  9. Laan, G. van der, 1990, "General equilibrium in a closed international trade model," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0044.
  10. van den Brink, J.R. & Gilles, R.P., 1990, "A social power index for hierarchically structured populations of economic agents," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 465.

1989

  1. Van Der Laan, G. & Ta & Man, A.J.J., 1989, "Price Rigidities And Rationing," Papers, Tilburg - Center for Economic Research, number 8913.
  2. Dai, Y. & van der Laan, G. & Talman, A.J.J. & Yamamoto, Y., 1989, "A simplicial algorithm for the nonlinear stationary point problem on an unbounded polyhedron," Discussion Paper, Tilburg University, Center for Economic Research, number 1989-52.
  3. van den Elzen, A.H. & van der Laan, G., 1989, "Price adjustment in a two-country model," Research Memorandum, Tilburg University, School of Economics and Management, number 391.
  4. Hofkes, M.W. & Laan, G. van der, 1989, "Solution of general equilibrium models with nonconvex technologies," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0088.

1988

  1. Magnus, J.R. & Pesaran, B., 1988, "The bias of forecasts from a first-order autoregression (Revised version)," Discussion Paper, Tilburg University, Center for Economic Research, number 1988-2.
  2. Holly, A. & Magnus, J.R., 1988, "A note on instrumental variables and maximum likelihood estimation procedures," Other publications TiSEM, Tilburg University, School of Economics and Management, number 15b2886d-b0f9-4e4e-a526-9.
  3. Magnus, J.R. & Woodland, A.D., 1988, "On the maximum likelihood estimation of multivariate regression models containing serially correlated error components," Other publications TiSEM, Tilburg University, School of Economics and Management, number 21cf54a1-ad57-442b-9c3d-f.
  4. Hoque, A. & Magnus, J.R. & Pesaran, B., 1988, "The exact multi-period meansquare forecast error for the first-order autoregressive model," Other publications TiSEM, Tilburg University, School of Economics and Management, number 23060037-ac4f-4f28-8fde-4.

1987

  1. Magnus, J.R., 1987, "A representation theorem for (trAp)1/p," Other publications TiSEM, Tilburg University, School of Economics and Management, number a6bbea90-205f-45b9-b2e3-1.
  2. Magnus, J.R. & Woodland, A.D., 1987, "Inter-fuel substitution in Dutch manufacturing," Other publications TiSEM, Tilburg University, School of Economics and Management, number ac70331b-1a1e-465e-9ccc-8.
  3. Magnus, J.R. & Morgan, M.S., 1987, "The ET interview : Professor J. Tinbergen," Other publications TiSEM, Tilburg University, School of Economics and Management, number c9e971fe-394d-4e99-89a2-6.
  4. van der Laan, G. & Talman, A.J.J., 1987, "Computing economic equilibria by variable dimension algorithms : State of the art," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 270.
  5. Ruys, P.H.M. & van der Laan, G., 1987, "Computation of an industrial equilibrium," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 257.
  6. van der Laan, G. & Talman, A.J.J., 1987, "A convergent price adjustment process," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0271830c-c03d-46a1-ae6f-f.
  7. Talman, A.J.J. & van der Laan, G., 1987, "Simplicial approximation of solutions to the nonlinear complementarity problem with lower and upper bounds," Other publications TiSEM, Tilburg University, School of Economics and Management, number 738c081c-83bc-4764-a144-9.
  8. Talman, A.J.J. & van der Laan, G. & Van der Heyden, L., 1987, "Variable dimension algorithms for solving the nonlinear complementarity problem on a product of unit simplices using general labelling," Other publications TiSEM, Tilburg University, School of Economics and Management, number fbe9ae2f-e01d-4eef-944c-6.
  9. Hofkes, M.W. & Laan, G. van der, 1987, "On the exclusion from the use of a public good and pareto optimality," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0038.

1986

  1. Heijmans, R.D.H. & Magnus, J.R., 1986, "Asymptotic normality of maximum likelihood estimators obtained from normally distributed but dependent observations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 04646078-f0bf-4fe6-80a7-3.
  2. Magnus, J.R., 1986, "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM, Tilburg University, School of Economics and Management, number c6725407-ac3c-44fd-b6d1-5.
  3. van den Elzen, A.H. & van der Laan, G., 1986, "A price adjustment process for an economy with a block-diagonal pattern," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 229.

1985

  1. Magnus, J & Neudecker, H, 1985, "Symmetry, 0-1 Matrices, And Jacobians: A Review," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293083, Jan, DOI: 10.22004/ag.econ.293083.
  2. Magnus, J & Neudecker, H, 1985, "MATRIX DIFFERENTIAL CALCULUS AND STATIC OPTIMIZATION part II- differentials: Theory," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293086, Jan, DOI: 10.22004/ag.econ.293086.
  3. Magnus, J & Neudecker, H, 1985, "Matrix differential calculus and static optimization Part III- differentials: Practice," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293096, Aug, DOI: 10.22004/ag.econ.293096.
  4. Heijmans, Risto & Magnus, Jan, 1985, "Consistent Maximum Likelihood Estimation With Dependent Observations: The General (Non-Normal) Case And The Normal Case," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293107, DOI: 10.22004/ag.econ.293107.
  5. Heijmans, Risto & Magnus, Jan, 1985, "On The First-Order Efficiency An Dasymptotic Normality Of The Maximum Likelihood Estimator Obtained From Dependent Observations," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293110, DOI: 10.22004/ag.econ.293110.
  6. Magnus, J.R. & Neudecker, H., 1985, "Matrix differential calculus with applications to simple, Hadamard, and Kronecker products," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1b2f1740-bfd1-4ea5-986c-9.
  7. Magnus, J.R., 1985, "On differentiating eigenvalues and eigenvectors," Other publications TiSEM, Tilburg University, School of Economics and Management, number f410e3a5-ba9b-4787-b8cc-4.
  8. van den Elzen, A.H. & van der Laan, G. & Talman, A.J.J., 1985, "Adjustment processes for finding equilibria on the simplotope," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 196.
  9. van der Laan, G. & Talman, A.J.J., 1985, "Adjustment processes for finding economic equilibria," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 174.
  10. van der Laan, G. & Talman, A.J.J., 1985, "An algorithm for the linear complementarity problem with upper and lower bounds," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 200.

1984

  1. Doup, T.M. & van der Laan, G. & Talman, A.J.J., 1984, "The (2n+1-2)-ray algorithm : A new simplicial algorithm to compute economic equilibria," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 151.
  2. van der Laan, G. & Talman, A.J.J. & van der Heyden, L., 1984, "Variable dimension algorithms for unproper labellings," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 147.
  3. van der Laan, G. & Talman, A.J.J. & Van der Heyden, L., 1984, "Shortest paths for simplicial algorithms," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 164.

1983

  1. Heijmans, R & Magnus, J, 1983, "Consistency of Maximum Likelihood Estimators When Observations Are Dependent," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293066, DOI: 10.22004/ag.econ.293066.
  2. Heijmans, Risto & Magnus, Jan, 1983, "On the Asymptotic Normality of the Maximum Likelihood Estimator With Dependent Observations," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293067, Jun, DOI: 10.22004/ag.econ.293067.
  3. Heijmans, Risto & Magnus, Jan, 1983, "On The First-Order Efficiency And Asympotic Normality Of The Maximum Likelihood Estimator Obtained From Dependent Observations," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293068, Jun, DOI: 10.22004/ag.econ.293068.
  4. Heijmans, Risto & Magnus, Jan, 1983, "Consistent Maximum Likelihood Estimation Of The Nonlinear Regression Model With Normal Errors," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293069, Jun, DOI: 10.22004/ag.econ.293069.
  5. Heijmans, Risto & Magnus, Jan, 1983, "Asymptotic Normality Of The Maximum Likelihood Estimator In The Nonlinear Regression Model With Normal Errors," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293070, Oct, DOI: 10.22004/ag.econ.293070.
  6. Magnus, J.R., 1983, "L-structured matrices and linear matrix equations," Other publications TiSEM, Tilburg University, School of Economics and Management, number ef9a74f0-816a-4079-8211-1.
  7. Talman, A.J.J. & van der Laan, G., 1983, "Interpretation of the variable dimension fixed point algorithm with an artificial level," Other publications TiSEM, Tilburg University, School of Economics and Management, number a021faea-47c1-4b65-a508-4.

1982

  1. Magnus, J.R., 1982, "Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9ffb33fe-f5af-470f-b405-f.
  2. van der LAAN, Gerard, 1982, "Simplicial approximation of unemployment equilibria," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 467, Jan, DOI: 10.1016/0304-4068(82)90019-2.
  3. van der Laan, G. & Talman, A.J.J., 1982, "Simplicial approximation of solutions to the nonlinear complementarity problem," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 118.
  4. van der Laan, G. & Talman, A.J.J., 1982, "Simplical algorithms for finding stationary points, a unifying description," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 109.
  5. van der Laan, G. & Talman, A.J.J., 1982, "From fixed point to equilibrium," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 122.
  6. Talman, A.J.J. & van der Laan, G., 1982, "On the computation of fixed points on the product space of unit simplices and an application to noncooperative N-person games," Other publications TiSEM, Tilburg University, School of Economics and Management, number ba74b902-87c8-43d5-8471-6.

1981

  1. Magnus, J.R., 1981, "Substitution between energy and other inputs in the Netherlands, with contributions to related econometric problems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0f5e327c-8c59-4d0f-914a-f.
  2. van der Laan, G. & Talman, A.J.J., 1981, "Note of the path following approach of equilibrium programming," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 106.
  3. Talman, A.J.J. & van der Laan, G., 1981, "A class of simplicial subdivisions for restart fixed point algorithms," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4b5dcc3a-9a84-4ee8-b8a5-b.

1980

  1. Magnus, J.R. & Neudecker, H., 1980, "The elimination matrix : Some lemmas and applications," Other publications TiSEM, Tilburg University, School of Economics and Management, number 0e3315d3-846c-4bc5-928e-f.
  2. Talman, A.J.J. & van der Laan, G., 1980, "A new subdivision for computing fixed points with a homotopy algorithm," Other publications TiSEM, Tilburg University, School of Economics and Management, number d702630e-5e0d-4c31-bd1e-1.
  3. Talman, A.J.J. & van der Laan, G., 1980, "An improvement of fixed point algorithms by using a good triangulation," Other publications TiSEM, Tilburg University, School of Economics and Management, number df7bfc3b-d7c7-4631-811a-e.

1979

  1. Magnus, J.R. & Neudecker, H., 1979, "The commutation matrix : Some properties and applications," Other publications TiSEM, Tilburg University, School of Economics and Management, number d0b1e779-7795-4676-ac98-1.
  2. Magnus, J.R., 1979, "Substitution between energy and non-energy inputs in the Netherlands, 1950-1976," Other publications TiSEM, Tilburg University, School of Economics and Management, number eef7f886-58db-4162-a57f-b.
  3. Magnus, J.R., 1979, "The expectation of products of quadratic forms in normal variables : The practice Statistica Neerlandica," Other publications TiSEM, Tilburg University, School of Economics and Management, number fe936fc3-c7db-4806-80b3-6.
  4. Talman, A.J.J. & van der Laan, G., 1979, "A restart algorithm for computing fixed points without an extra dimension," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1f2102f8-e6da-4e9c-a2ed-9.

1978

  1. Magnus, J.R., 1978, "The moments of products of quadratic forms in normal variables," Other publications TiSEM, Tilburg University, School of Economics and Management, number 17c77a44-1789-4cf4-a382-a.

1977

  1. Magnus, Jan, 1977, "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293034, Jan, DOI: 10.22004/ag.econ.293034.
  2. Magnus, Jan & Neudecker, H, 1977, "The commutation matrix: some theorems and applications," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293044, Feb, DOI: 10.22004/ag.econ.293044.
  3. Heijmans, Risto & Magnus, Jan, 1977, "Asyptopic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Convariance Matrix," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293047, Oct, DOI: 10.22004/ag.econ.293047.
  4. Don, F & Magnus, Jan, 1977, "On the Unbiasedness of Iterated GLS Estimators," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293048, Aug, DOI: 10.22004/ag.econ.293048.

1976

  1. Magnus, Jan, 1976, "Substitution between energy and non-energy inputs in the Netherlands, 1950-1974," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293027, Jul, DOI: 10.22004/ag.econ.293027.

1974

  1. Cramer, J.S. & Magnus, J.R., 1974, "Benzine is al eens duurder geweest," Other publications TiSEM, Tilburg University, School of Economics and Management, number f3743619-64fb-4314-833a-e.

Undated

  1. Siem Jan Koopman & Kai Ming Lee, 0, "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-028/4, 00.
  2. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0, "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-041/4, 00, revised 17 Sep 2010.
  3. Ikefuji, Masako & Magnus, Jan R. & Sakamoto, Hiroaki, undated, "Adaptation for Mitigation," Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM), number 191000, DOI: 10.22004/ag.econ.191000.
  4. René van den Brink & Gerard van der Laan & Valeri Vasil'ev, 0, "The Restricted Core for Totally Positive Games with Ordered Players," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-038/1, 00.
  5. René van den Brink & Robert P. Gilles, 0, "The Outflow Ranking Method for Weighted Directed Graphs," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-044/1, 00.

Journal articles

2026

  1. De Vos, Ignace & Everaert, Gerdie, 2026, "GLS estimation of local projections: Trading robustness for efficiency," Journal of Econometrics, Elsevier, volume 253, issue C, DOI: 10.1016/j.jeconom.2026.106182.
  2. Ignace De Vos & Ovidijus Stauskas, 2026, "Cross-Section Bootstrap for CCE Regressions with General Unknown Factors," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 44, issue 3, pages 876-885, July, DOI: 10.1080/07350015.2025.2565285.
  3. F. Blasques & P. Gorgi & S. J. Koopman & J. Sampi, 2026, "Measuring Growth Spillovers," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 88, issue 2, pages 213-225, April, DOI: 10.1111/obes.70013.
  4. Marina Friedrich & Siem Jan Koopman & Yicong Lin & Emmanuel Mahieu & Stephan Smeekes & Martine De Mazière & Victoria Flood & Matthias Max Frey & Michel Grutter & James W. Hannigan & Frank Hase & Nicho, 2026, "Identifying trend reversals in atmospheric ethane from a multi-site analysis," Climatic Change, Springer, volume 179, issue 4, pages 1-33, April, DOI: 10.1007/s10584-026-04153-0.

2025

  1. Ovidijus Stauskas & Ignace De Vos, 2025, "Handling Distinct Correlated Effects with CCE," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 87, issue 2, pages 448-475, April, DOI: 10.1111/obes.12650.
  2. F. Blasques & S. J. Koopman & G. Mingoli & S. Telg, 2025, "A Novel Test for the Presence of Local Explosive Dynamics," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 5, pages 966-980, September, DOI: 10.1111/jtsa.70001.
  3. Francisco Blasques & Siem Jan Koopman & Karim Moussa, 2025, "Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 6, pages 1098-1124, November, DOI: 10.1111/jtsa.12780.
  4. F. Blasques & P. Gorgi & S. J. Koopman, 2025, "Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 43, issue 4, pages 926-940, October, DOI: 10.1080/07350015.2024.2447293.
  5. Giuseppe De Luca & Jan R. Magnus, 2025, "Weighted-average least squares: Improvements and extensions," Stata Journal, StataCorp LLC, volume 25, issue 3, pages 587-626, September, DOI: 10.1177/1536867X251365494.
  6. Giuseppe De Luca & Jan R. Magnus, 2025, "Weighted-average least squares: Beyond the classical linear regression model," Stata Journal, StataCorp LLC, volume 25, issue 4, pages 772-811, December, DOI: 10.1177/1536867X251398599.

2024

  1. Mirko Armillotta & Konstantinos Fokianos, 2024, "Count network autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 45, issue 4, pages 584-612, July, DOI: 10.1111/jtsa.12728.
  2. De Vos, Ignace & Stauskas, Ovidijus, 2024, "Cross-section bootstrap for CCE regressions," Journal of Econometrics, Elsevier, volume 240, issue 1, DOI: 10.1016/j.jeconom.2023.105648.
  3. Ignace De Vos & Gerdie Everaert & Vasilis Sarafidis, 2024, "A method to evaluate the rank condition for CCE estimators," Econometric Reviews, Taylor & Francis Journals, volume 43, issue 2-4, pages 123-155, April, DOI: 10.1080/07474938.2023.2292383.
  4. Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J., 2024, "A robust Beveridge–Nelson decomposition using a score-driven approach with an application," Economics Letters, Elsevier, volume 236, issue C, DOI: 10.1016/j.econlet.2024.111588.
  5. Blasques, Francisco & van Brummelen, Janneke & Gorgi, Paolo & Koopman, Siem Jan, 2024, "Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions," Journal of Econometrics, Elsevier, volume 238, issue 1, DOI: 10.1016/j.jeconom.2023.105575.
  6. Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin, 2024, "Observation-driven filtering of time-varying parameters using moment conditions," Journal of Econometrics, Elsevier, volume 238, issue 2, DOI: 10.1016/j.jeconom.2023.105635.
  7. Gorgi, Paolo & Koopman, Siem Jan & Schaumburg, Julia, 2024, "Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors," Journal of Econometrics, Elsevier, volume 244, issue 2, DOI: 10.1016/j.jeconom.2024.105750.
  8. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2024, "A regression-based approach to the CO2 airborne fraction," Nature Communications, Nature, volume 15, issue 1, pages 1-9, December, DOI: 10.1038/s41467-024-52728-1.
  9. Francisco Blasques & Enzo D’Innocenzo & Siem Jan Koopman, 2024, "Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices," Econometric Reviews, Taylor & Francis Journals, volume 43, issue 8, pages 638-670, September, DOI: 10.1080/07474938.2024.2357430.
  10. Telg, Sean, 2024, "Time aggregation of mixed causal–noncausal models," Economics Letters, Elsevier, volume 244, issue C, DOI: 10.1016/j.econlet.2024.112019.

2023

  1. Gorgi, P. & Koopman, S.J., 2023, "Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2021.06.010.
  2. Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A., 2023, "Time-Varying Parameters in Econometrics: The editor’s foreword," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2023.03.007.
  3. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2023, "On the evidence of a trend in the CO2 airborne fraction," Nature, Nature, volume 616, issue 7956, pages 1-3, April, DOI: 10.1038/s41586-023-05871-6.
  4. P. Gorgi & S. J. Koopman & R. Lit, 2023, "Estimation of final standings in football competitions with a premature ending: the case of COVID-19," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 107, issue 1, pages 233-250, March, DOI: 10.1007/s10182-021-00415-7.
  5. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023, "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, volume 147, issue C, DOI: 10.1016/j.jbankfin.2022.106638.
  6. Rene van den Brink & Ilya Katsev & Gerard van der Laan, 2023, "Properties of Solutions for Games on Union-Closed Systems," Mathematics, MDPI, volume 11, issue 4, pages 1-16, February.
  7. Takayuki Oishi & Gerard van der Laan & René van den Brink, 2023, "Axiomatic analysis of liability problems with rooted-tree networks in tort law," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 75, issue 1, pages 229-258, January, DOI: 10.1007/s00199-021-01399-w.

2022

  1. Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto, 2022, "Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 84, issue 1, pages 57-79, February, DOI: 10.1111/obes.12459.
  2. Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022, "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 65-84, DOI: 10.1016/j.jeconom.2021.05.008.
  3. Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022, "Maximum likelihood estimation for score-driven models," Journal of Econometrics, Elsevier, volume 227, issue 2, pages 325-346, DOI: 10.1016/j.jeconom.2021.06.003.

2021

  1. Ignace De Vos & Gerdie Everaert, 2021, "Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 1, pages 294-306, January, DOI: 10.1080/07350015.2019.1654879.
  2. Blasques, F. & Gorgi, P. & Koopman, S.J., 2021, "Missing observations in observation-driven time series models," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 542-568, DOI: 10.1016/j.jeconom.2020.07.043.
  3. Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan, 2021, "Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors," Energy Economics, Elsevier, volume 96, issue C, DOI: 10.1016/j.eneco.2021.105118.
  4. Blasques, Francisco & Hoogerkamp, Meindert Heres & Koopman, Siem Jan & van de Werve, Ilka, 2021, "Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data," International Journal of Forecasting, Elsevier, volume 37, issue 4, pages 1426-1441, DOI: 10.1016/j.ijforecast.2021.01.026.
  5. Mengheng Li & Siem Jan Koopman, 2021, "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 36, issue 5, pages 614-627, August, DOI: 10.1002/jae.2831.

2020

  1. Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020, "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 46-66, DOI: 10.1016/j.jeconom.2019.05.004.
  2. Bräuning, Falk & Koopman, Siem Jan, 2020, "The dynamic factor network model with an application to international trade," Journal of Econometrics, Elsevier, volume 216, issue 2, pages 494-515, DOI: 10.1016/j.jeconom.2019.10.007.
  3. Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020, "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 335-355, DOI: 10.1016/j.jeconom.2019.12.007.
  4. Francisco Blasques & Siem Jan Koopman & André Lucas, 2020, "Nonlinear autoregressive models with optimality properties," Econometric Reviews, Taylor & Francis Journals, volume 39, issue 6, pages 559-578, July, DOI: 10.1080/07474938.2019.1701807.
  5. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2020, "Expected utility and catastrophic risk in a stochastic economy–climate model," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 110-129, DOI: 10.1016/j.jeconom.2019.05.007.
  6. Hiroaki Sakamoto & Masako Ikefuji & Jan R. Magnus, 2020, "Adaptation for Mitigation," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 75, issue 3, pages 457-484, March, DOI: 10.1007/s10640-019-00396-x.
  7. Alain Hecq & Joao Victor Issler & Sean Telg, 2020, "Mixed causal–noncausal autoregressions with exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 3, pages 328-343, April, DOI: 10.1002/jae.2751.

2019

  1. De Vos, Ignace & Westerlund, Joakim, 2019, "On CCE estimation of factor-augmented models when regressors are not linear in the factors," Economics Letters, Elsevier, volume 178, issue C, pages 5-7, DOI: 10.1016/j.econlet.2019.02.001.
  2. P. Gorgi & S. J. Koopman & R. Lit, 2019, "The analysis and forecasting of tennis matches by using a high dimensional dynamic model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 182, issue 4, pages 1393-1409, October, DOI: 10.1111/rssa.12464.
  3. Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen, 2019, "Modified efficient importance sampling for partially non‐Gaussian state space models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 73, issue 1, pages 44-62, February, DOI: 10.1111/stan.12128.
  4. Blasques, F. & Gorgi, P. & Koopman, S.J., 2019, "Accelerating score-driven time series models," Journal of Econometrics, Elsevier, volume 212, issue 2, pages 359-376, DOI: 10.1016/j.jeconom.2019.03.005.
  5. Koopman, Siem Jan & Lit, Rutger, 2019, "Forecasting football match results in national league competitions using score-driven time series models," International Journal of Forecasting, Elsevier, volume 35, issue 2, pages 797-809, DOI: 10.1016/j.ijforecast.2018.10.011.
  6. Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng, 2019, "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1735-1747, DOI: 10.1016/j.ijforecast.2018.11.005.
  7. P Gorgi & P R Hansen & P Janus & S J Koopman, 2019, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 1-32.
  8. Jan R. Magnus, 2019, "On Using the t -Ratio as a Diagnostic," Econometrics, MDPI, volume 7, issue 2, pages 1-3, May.
  9. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2019, "Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 2, pages 217-222, April, DOI: 10.1080/07350015.2019.1575743.
  10. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019, "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 81, issue 3, pages 697-715, June, DOI: 10.1111/obes.12281.

2018

  1. F Blasques & S J Koopman & A Lucas, 2018, "Amendments and Corrections," Biometrika, Biometrika Trust, volume 105, issue 3, pages 753-753.
  2. István Barra & Agnieszka Borowska & Siem Jan Koopman, 2018, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 384-424.
  3. Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor, 2018, "Dynamic discrete copula models for high‐frequency stock price changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 33, issue 7, pages 966-985, November, DOI: 10.1002/jae.2645.
  4. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2018, "Balanced Variable Addition In Linear Models," Journal of Economic Surveys, Wiley Blackwell, volume 32, issue 4, pages 1183-1200, September, DOI: 10.1111/joes.12245.
  5. De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2018, "Weighted-average least squares estimation of generalized linear models," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 1-17, DOI: 10.1016/j.jeconom.2017.12.007.

2017

  1. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017, "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 1, pages 140-158, January.
  2. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017, "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 250-264, April, DOI: 10.1080/07350015.2015.1052461.
  3. A. Estévez-Fernández & P. Borm & M. G. Fiestras-Janeiro & M. A. Mosquera & E. Sánchez-Rodríguez, 2017, "On the 1-nucleolus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 86, issue 2, pages 309-329, October, DOI: 10.1007/s00186-017-0597-x.
    • Estévez-Fernández , M.A. & Borm, Peter & Fiestras, & Mosquera, & Sanchez,, 2017, "On the 1-nucleolus," Other publications TiSEM, Tilburg University, School of Economics and Management, number a8ce6687-c87a-4131-98f7-3.
  4. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2017, "Time-Varying Transition Probabilities for Markov Regime Switching Models," Journal of Time Series Analysis, Wiley Blackwell, volume 38, issue 3, pages 458-478, May.
  5. Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas, 2017, "Testing for Parameter Instability across Different Modeling Frameworks," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 2, pages 223-246.
  6. Siem Jan Koopman & Rutger Lit & André Lucas, 2017, "Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 520, pages 1490-1503, October, DOI: 10.1080/01621459.2017.1302878.
  7. S. J. Koopman & G. Mesters, 2017, "Empirical Bayes Methods for Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, volume 99, issue 3, pages 486-498, July.
  8. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017, "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 2, pages 296-317, March, DOI: 10.1002/jae.2521.
  9. István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017, "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 5, pages 1003-1026, August.
  10. Alain Hecq & Sean Telg & Lenard Lieb, 2017, "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, volume 5, issue 4, pages 1-22, October.
  11. René Brink & Chris Dietz & Gerard Laan & Genjiu Xu, 2017, "Comparable characterizations of four solutions for permission tree games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 63, issue 4, pages 903-923, April, DOI: 10.1007/s00199-016-0966-3.

2016

  1. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016, "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 7, pages 486-493, May, DOI: 10.1080/13504851.2015.1083075.
  2. Emiliya Lazarova & Peter Borm & Arantza Estévez-Fernández, 2016, "Transfers and exchange-stability in two-sided matching problems," Theory and Decision, Springer, volume 81, issue 1, pages 53-71, June, DOI: 10.1007/s11238-015-9524-x.
  3. Vujić, Sunčica & Commandeur, Jacques J.F. & Koopman, Siem Jan, 2016, "Intervention time series analysis of crime rates: The case of sentence reform in Virginia," Economic Modelling, Elsevier, volume 57, issue C, pages 311-323, DOI: 10.1016/j.econmod.2016.02.017.
  4. Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente, 2016, "Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area," Economics Letters, Elsevier, volume 145, issue C, pages 83-87, DOI: 10.1016/j.econlet.2016.05.034.
  5. Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z., 2016, "Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 405-417, DOI: 10.1016/j.jeconom.2016.04.014.
  6. Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016, "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 211-223, DOI: 10.1016/j.jeconom.2016.09.001.
  7. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016, "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 461-475, DOI: 10.1016/j.jempfin.2016.01.002.
  8. Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André, 2016, "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 875-887, DOI: 10.1016/j.ijforecast.2015.11.018.
  9. Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016, "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1284-1305, DOI: 10.1016/j.ijforecast.2016.05.003.
  10. G. Mesters & S. J. Koopman & M. Ooms, 2016, "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 4, pages 659-687, April, DOI: 10.1080/07474938.2015.1031014.
  11. Siem Jan Koopman & André Lucas & Marcel Scharth, 2016, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, volume 98, issue 1, pages 97-110, March.
  12. Huang, Jia-Ping & Koster, Maurice & Lindner, Ines, 2016, "Diffusion of behavior in network games with threshold dynamics," Mathematical Social Sciences, Elsevier, volume 84, issue C, pages 109-118, DOI: 10.1016/j.mathsocsci.2016.10.007.
  13. Jan R. Magnus & Giuseppe De Luca, 2016, "Weighted-Average Least Squares (Wals): A Survey," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 1, pages 117-148, February.
  14. Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016, "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 754-762, DOI: 10.1016/j.ijforecast.2015.12.005.
  15. Jan R. Magnus & Wendun Wang & Xinyu Zhang, 2016, "Weighted-Average Least Squares Prediction," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 1040-1074, June, DOI: 10.1080/07474938.2014.977065.
  16. Alain Hecq & Lenard Lieb & Sean Telg, 2016, "Identification of Mixed Causal-Noncausal Models in Finite Samples," Annals of Economics and Statistics, GENES, issue 123-124, pages 307-331, DOI: 10.15609/annaeconstat2009.123-124.0.
  17. Gerard van der Laan & Zaifu Yang, 2016, "An ascending multi-item auction with financially constrained bidders," The Journal of Mechanism and Institution Design, Society for the Promotion of Mechanism and Institution Design, University of York, volume 1, issue 1, pages 109-149, December, DOI: 10.22574/jmid.2016.12.004.
  18. René Brink & Anna Khmelnitskaya & Gerard Laan, 2016, "An Owen-type value for games with two-level communication structure," Annals of Operations Research, Springer, volume 243, issue 1, pages 179-198, August, DOI: 10.1007/s10479-015-1808-6.
  19. Hans Peters & Judith Timmer & Rene van den Brink, 2016, "Power on digraphs," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, volume 26, issue 2, pages 107-125, DOI: 10.5277/ord160207.
    • Peters, Hans & Timmer, Judith & van den Brink, Rene, 2016, "Power on digraphs," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 019, Apr, DOI: 10.26481/umagsb.2016019.
  20. René Brink & Youngsub Chun & Yukihiko Funaki & Boram Park, 2016, "Consistency, population solidarity, and egalitarian solutions for TU-games," Theory and Decision, Springer, volume 81, issue 3, pages 427-447, September, DOI: 10.1007/s11238-016-9538-z.

2015

  1. Kock, Anders Bredahl & Callot, Laurent, 2015, "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 325-344, DOI: 10.1016/j.jeconom.2015.02.013.
  2. Ignace De Vos & Gerdie Everaert & Ilse Ruyssen, 2015, "Bootstrap-based bias correction and inference for dynamic panels with fixed effects," Stata Journal, StataCorp LLC, volume 15, issue 4, pages 986-1018, December.
  3. E. Sánchez-Rodríguez & P. Borm & A. Estévez-Fernández & M. Fiestras-Janeiro & M. Mosquera, 2015, "$$k$$ k -core covers and the core," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 81, issue 2, pages 147-167, April, DOI: 10.1007/s00186-014-0490-9.
  4. Siem Jan Koopman & Rutger Lit, 2015, "A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 178, issue 1, pages 167-186, January.
  5. F. Blasques & S. J. Koopman & A. Lucas, 2015, "Information-theoretic optimality of observation-driven time series models for continuous responses," Biometrika, Biometrika Trust, volume 102, issue 2, pages 325-343.
  6. Siem Jan Koopman & André Lucas & Marcel Scharth, 2015, "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 1, pages 114-127, January, DOI: 10.1080/07350015.2014.925807.
  7. Borus Jungbacker & Siem Jan Koopman, 2015, "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, volume 18, issue 2, pages 1-21, June.
  8. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2015, "Expected utility and catastrophic consumption risk," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 306-312, DOI: 10.1016/j.insmatheco.2015.06.007.
  9. Magnus, Jan R. & Vasnev, Andrey L., 2015, "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 769-781, DOI: 10.1016/j.ijforecast.2013.08.001.
  10. Harold Houba & Gerard Laan & Yuyu Zeng, 2015, "International Environmental Agreements for River Sharing Problems," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 62, issue 4, pages 855-872, December, DOI: 10.1007/s10640-014-9862-0.
  11. René Brink & P. Herings & Gerard Laan & A. Talman, 2015, "The Average Tree permission value for games with a permission tree," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 58, issue 1, pages 99-123, January, DOI: 10.1007/s00199-013-0796-5.
  12. René Brink & Gerard Laan & Nigel Moes, 2015, "Values for transferable utility games with coalition and graph structure," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 23, issue 1, pages 77-99, April, DOI: 10.1007/s11750-014-0324-1.
  13. René Brink & Yukihiko Funaki, 2015, "Implementation and axiomatization of discounted Shapley values," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 45, issue 2, pages 329-344, September, DOI: 10.1007/s00355-015-0899-y.
  14. E. Algaba & J. Bilbao & R. Brink, 2015, "Harsanyi power solutions for games on union stable systems," Annals of Operations Research, Springer, volume 225, issue 1, pages 27-44, February, DOI: 10.1007/s10479-012-1216-0.
  15. van den Brink, René & Pintér, Miklós, 2015, "On axiomatizations of the Shapley value for assignment games," Journal of Mathematical Economics, Elsevier, volume 60, issue C, pages 110-114, DOI: 10.1016/j.jmateco.2015.06.016.

2014

  1. René Brink & Arantza Estévez-Fernández & Gerard Laan & Nigel Moes, 2014, "Independence of downstream and upstream benefits in river water allocation problems," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 43, issue 1, pages 173-194, June, DOI: 10.1007/s00355-013-0771-x.
  2. Estévez-Fernández, Arantza & Reijnierse, Hans, 2014, "On the core of cost-revenue games: Minimum cost spanning tree games with revenues," European Journal of Operational Research, Elsevier, volume 237, issue 2, pages 606-616, DOI: 10.1016/j.ejor.2014.01.056.
  3. Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014, "Long memory dynamics for multivariate dependence under heavy tails," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 187-206, DOI: 10.1016/j.jempfin.2014.09.007.
  4. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014, "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 144-157, DOI: 10.1016/j.csda.2012.11.019.
  5. Mesters, G. & Koopman, S.J., 2014, "Generalized dynamic panel data models with random effects for cross-section and time," Journal of Econometrics, Elsevier, volume 180, issue 2, pages 127-140, DOI: 10.1016/j.jeconom.2014.03.004.
  6. Bräuning, Falk & Koopman, Siem Jan, 2014, "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 572-584, DOI: 10.1016/j.ijforecast.2013.03.004.
  7. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2014, "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 741-758, DOI: 10.1016/j.ijforecast.2013.10.004.
  8. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014, "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, volume 96, issue 5, pages 898-915, December.
  9. Borus Jungbacker & Siem Jan Koopman & Michel Wel, 2014, "Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 1, pages 65-90, January, DOI: 10.1002/jae.2319.
  10. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014, "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 693-712, August.
  11. Lindner, Ines & Strulik, Holger, 2014, "From tradition to modernity: Economic growth in a small world," Journal of Development Economics, Elsevier, volume 109, issue C, pages 17-29, DOI: 10.1016/j.jdeveco.2014.03.006.
  12. Jan R. Magnus & Wendun Wang, 2014, "Concept-Based Bayesian Model Averaging and Growth Empirics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 6, pages 874-897, December.
  13. Kan Ji & Jan Magnus & Wendun Wang, 2014, "Natural Resources, Institutional Quality, and Economic Growth in China," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 57, issue 3, pages 323-343, March, DOI: 10.1007/s10640-013-9673-8.
  14. Masako Ikefuji & Jan Magnus & Hiroaki Sakamoto, 2014, "The effect of health benefits on climate change mitigation policies," Climatic Change, Springer, volume 126, issue 1, pages 229-243, September, DOI: 10.1007/s10584-014-1204-2.
  15. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014, "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 158-171, DOI: 10.1016/j.csda.2013.07.028.
  16. Houba, Harold & van der Laan, Gerard & Zeng, Yuyu, 2014, "Asymmetric Nash Solutions in the River Sharing Problem," Strategic Behavior and the Environment, now publishers, volume 4, issue 4, pages 321-360, December, DOI: 10.1561/102.00000049.
  17. René Brink & Chris Dietz, 2014, "Games with a local permission structure: separation of authority and value generation," Theory and Decision, Springer, volume 76, issue 3, pages 343-361, March, DOI: 10.1007/s11238-013-9372-5.
  18. René Brink & Gerard Laan & Valeri Vasil’ev, 2014, "Constrained core solutions for totally positive games with ordered players," International Journal of Game Theory, Springer;Game Theory Society, volume 43, issue 2, pages 351-368, May, DOI: 10.1007/s00182-013-0382-x.
  19. van den Brink, René & González-Arangüena, Enrique & Manuel, Conrado & del Pozo, Mónica, 2014, "Order monotonic solutions for generalized characteristic functions," European Journal of Operational Research, Elsevier, volume 238, issue 3, pages 786-796, DOI: 10.1016/j.ejor.2014.04.016.
  20. Ju, Yuan & Chun, Youngsub & van den Brink, René, 2014, "Auctioning and selling positions: A non-cooperative approach to queueing conflicts," Journal of Economic Theory, Elsevier, volume 153, issue C, pages 33-45, DOI: 10.1016/j.jet.2014.05.007.

2013

  1. Koopman, Siem Jan & van der Wel, Michel, 2013, "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, volume 29, issue 4, pages 676-694, DOI: 10.1016/j.ijforecast.2012.12.004.
  2. Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013, "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, volume 45, issue 21, pages 3024-3034, July, DOI: 10.1080/00036846.2012.690937.
  3. Drew Creal & Siem Jan Koopman & André Lucas, 2013, "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 777-795, August.
  4. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013, "Pareto utility," Theory and Decision, Springer, volume 75, issue 1, pages 43-57, July, DOI: 10.1007/s11238-012-9293-8.
  5. Álvarez-Mozos, M. & van den Brink, R. & van der Laan, G. & Tejada, O., 2013, "Share functions for cooperative games with levels structure of cooperation," European Journal of Operational Research, Elsevier, volume 224, issue 1, pages 167-179, DOI: 10.1016/j.ejor.2012.07.031.
  6. van den Brink, René & Funaki, Yukihiko & van der Laan, Gerard, 2013, "Characterization of the Reverse Talmud bankruptcy rule by Exemption and Exclusion properties," European Journal of Operational Research, Elsevier, volume 228, issue 2, pages 413-417, DOI: 10.1016/j.ejor.2013.01.052.
  7. van den Brink, René & van der Laan, Gerard & Moes, Nigel, 2013, "A strategic implementation of the Average Tree solution for cycle-free graph games," Journal of Economic Theory, Elsevier, volume 148, issue 6, pages 2737-2748, DOI: 10.1016/j.jet.2013.07.018.
  8. René Brink & Yukihiko Funaki & Yuan Ju, 2013, "Reconciling marginalism with egalitarianism: consistency, monotonicity, and implementation of egalitarian Shapley values," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 40, issue 3, pages 693-714, March, DOI: 10.1007/s00355-011-0634-2.
  9. René Brink & Agnieszka Rusinowska & Frank Steffen, 2013, "Measuring power and satisfaction in societies with opinion leaders: an axiomatization," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 41, issue 3, pages 671-683, September, DOI: 10.1007/s00355-012-0699-6.
  10. C. Manuel & E. González-Arangüena & R. Brink, 2013, "Players indifferent to cooperate and characterizations of the Shapley value," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 77, issue 1, pages 1-14, February, DOI: 10.1007/s00186-012-0412-7.

2012

  1. Estévez-Fernández, Arantza, 2012, "A game theoretical approach to sharing penalties and rewards in projects," European Journal of Operational Research, Elsevier, volume 216, issue 3, pages 647-657, DOI: 10.1016/j.ejor.2011.08.015.
  2. Estévez-Fernández, Arantza, 2012, "New characterizations for largeness of the core," Games and Economic Behavior, Elsevier, volume 76, issue 1, pages 160-180, DOI: 10.1016/j.geb.2012.04.003.
  3. A. Estévez-Fernández & M. Fiestras-Janeiro & M. Mosquera & E. Sánchez-Rodríguez, 2012, "A bankruptcy approach to the core cover," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 76, issue 3, pages 343-359, December, DOI: 10.1007/s00186-012-0409-2.
  4. Arantza Estévez-Fernández & Peter Borm & Herbert Hamers, 2012, "A Note On Passepartout Problems," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., volume 14, issue 02, pages 1-9, DOI: 10.1142/S0219198912500132.
  5. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012, "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3134-3152, DOI: 10.1016/j.csda.2011.04.002.
  6. Vujić Sunčica & Koopman Siem Jan & Commandeur J.F., 2012, "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 6, pages 652-677, December, DOI: 10.1515/jbnst-2012-0607.
  7. Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012, "Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 2, pages 354-389, 2012 06.
  8. Siem Jan Koopman & Marcel Scharth, 2012, "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 1, pages 76-115, December.
  9. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012, "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 4, pages 521-532, May, DOI: 10.1080/07350015.2012.700859.
  10. Ines Lindner, 2012, "Annick Laruelle and Federico Valenciano: Voting and collective decision-making," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 38, issue 1, pages 161-179, January, DOI: 10.1007/s00355-010-0484-3.
  11. Jan R. Magnus & Karen Poghosyan, 2012, "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 40-58, April.
  12. Salima Douhou & Jan Magnus & Arthur Soest, 2012, "Peer Reporting and the Perception of Fairness," De Economist, Springer, volume 160, issue 3, pages 289-310, September, DOI: 10.1007/s10645-012-9192-y.
  13. van den Brink, René & Khmelnitskaya, Anna & van der Laan, Gerard, 2012, "An efficient and fair solution for communication graph games," Economics Letters, Elsevier, volume 117, issue 3, pages 786-789, DOI: 10.1016/j.econlet.2012.08.026.
  14. van den Brink, René & van der Laan, Gerard & Moes, Nigel, 2012, "Fair agreements for sharing international rivers with multiple springs and externalities," Journal of Environmental Economics and Management, Elsevier, volume 63, issue 3, pages 388-403, DOI: 10.1016/j.jeem.2011.11.003.
  15. René Brink & Frank Steffen, 2012, "Axiomatizations of a positional power score and measure for hierarchies," Public Choice, Springer, volume 151, issue 3, pages 757-787, June, DOI: 10.1007/s11127-011-9769-z.
  16. René Brink & Youngsub Chun, 2012, "Balanced consistency and balanced cost reduction for sequencing problems," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 38, issue 3, pages 519-529, March, DOI: 10.1007/s00355-011-0533-6.
  17. René Brink, 2012, "On hierarchies and communication," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 39, issue 4, pages 721-735, October, DOI: 10.1007/s00355-011-0557-y.
  18. van den Brink, René, 2012, "Efficiency and collusion neutrality in cooperative games and networks," Games and Economic Behavior, Elsevier, volume 76, issue 1, pages 344-348, DOI: 10.1016/j.geb.2012.04.001.

2011

  1. Creal, Drew & Koopman, Siem Jan & Lucas, André, 2011, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 4, pages 552-563.
  2. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011, "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 8, pages 1358-1368, August.
  3. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011, "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 312-325, June.
  4. Siem Jan Koopman & Soon Yip Wong, 2011, "Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 1, pages 147-167, January.
  5. Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011, "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, volume 41, issue i01, DOI: http://hdl.handle.net/10.18637/jss..
  6. Magnus, Jan R. & Melenberg, Bertrand & Muris, Chris, 2011, "Global Warming and Local Dimming: The Statistical Evidence," Journal of the American Statistical Association, American Statistical Association, volume 106, issue 494, pages 452-464.
  7. Magnus, Jan R. & Melenberg, Bertrand & Muris, Chris, 2011, "Rejoinder," Journal of the American Statistical Association, American Statistical Association, volume 106, issue 494, pages 457-468.
  8. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011, "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 3, pages 1331-1341, March.
  9. Douhou, Salima & Magnus, Jan R. & van Soest, Arthur, 2011, "The perception of small crime," European Journal of Political Economy, Elsevier, volume 27, issue 4, pages 749-763, DOI: 10.1016/j.ejpoleco.2011.05.005.
  10. Giuseppe De Luca & Jan R. Magnus, 2011, "Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues," Stata Journal, StataCorp LLC, volume 11, issue 4, pages 518-544, December.
  11. van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011, "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, volume 214, issue 3, pages 493-500, November.
  12. René Brink & Ilya Katsev & Gerard Laan, 2011, "Axiomatizations of two types of Shapley values for games on union closed systems," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 47, issue 1, pages 175-188, May, DOI: 10.1007/s00199-010-0530-5.
  13. René Brink & Gerard Laan & Vitaly Pruzhansky, 2011, "Harsanyi power solutions for graph-restricted games," International Journal of Game Theory, Springer;Game Theory Society, volume 40, issue 1, pages 87-110, February, DOI: 10.1007/s00182-009-0220-3.
  14. René Brink & Ilya Katsev & Gerard Laan, 2011, "A polynomial time algorithm for computing the nucleolus for a class of disjunctive games with a permission structure," International Journal of Game Theory, Springer;Game Theory Society, volume 40, issue 3, pages 591-616, August, DOI: 10.1007/s00182-010-0257-3.

2010

  1. Marc K. Francke & Siem Jan Koopman & Aart F. De Vos, 2010, "Likelihood functions for state space models with diffuse initial conditions," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 6, pages 407-414, November, DOI: 10.1111/j.1467-9892.2010.00673.x.
  2. Koopman, Siem Jan & Mallee, Max I. P. & Van der Wel, Michel, 2010, "Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 3, pages 329-343.
  3. Frits Bijleveld & Jacques Commandeur & Siem Jan Koopman & Kees van Montfort, 2010, "Multivariate non‐linear time series modelling of exposure and risk in road safety research," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 59, issue 1, pages 145-161, January, DOI: 10.1111/j.1467-9876.2009.00690.x.
  4. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010, "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2641-2654, November.
  5. Koopman, S.J. & Ooms, M., 2010, "Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments," International Journal of Forecasting, Elsevier, volume 26, issue 4, pages 647-651, October.
  6. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010, "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 4, pages 695-719, DOI: 10.1002/jae.1185.
  7. Magnus, Jan R. & Muris, Chris, 2010, "Specification Of Variance Matrices For Panel Data Models," Econometric Theory, Cambridge University Press, volume 26, issue 1, pages 301-310, February.
  8. Magnus, Jan R. & Powell, Owen & Prüfer, Patricia, 2010, "A comparison of two model averaging techniques with an application to growth empirics," Journal of Econometrics, Elsevier, volume 154, issue 2, pages 139-153, February.
  9. Magnus, Jan R., 2010, "On the concept of matrix derivative," Journal of Multivariate Analysis, Elsevier, volume 101, issue 9, pages 2200-2206, October.
  10. Jan Magnus & Anatoly Peresetsky, 2010, "The price of Moscow apartments," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 17, issue 1, pages 89-105.
  11. Kaynar, Bahar & Ridder, Ad, 2010, "The cross-entropy method with patching for rare-event simulation of large Markov chains," European Journal of Operational Research, Elsevier, volume 207, issue 3, pages 1380-1397, December.
  12. van den Brink, René & Katsev, Ilya & van der Laan, Gerard, 2010, "An algorithm for computing the nucleolus of disjunctive non-negative additive games with an acyclic permission structure," European Journal of Operational Research, Elsevier, volume 207, issue 2, pages 817-826, December.
  13. Herings, P.J.J. & van der Laan, G. & Talman, A.J.J. & Yang, Z., 2010, "The average tree solution for cooperative games with communication structure," Games and Economic Behavior, Elsevier, volume 68, issue 2, pages 626-633, March.
  14. René Brink, 2010, "Axiomatizations of Banzhaf permission values for games with a permission structure," International Journal of Game Theory, Springer;Game Theory Society, volume 39, issue 3, pages 445-466, July, DOI: 10.1007/s00182-009-0221-2.

2009

  1. Arantza Estévez-Fernández & Peter Borm & Marc Meertens & Hans Reijnierse, 2009, "On the core of routing games with revenues," International Journal of Game Theory, Springer;Game Theory Society, volume 38, issue 2, pages 291-304, June, DOI: 10.1007/s00182-009-0154-9.
  2. Borm, Peter & Estévez-Fernández, Arantza & Fiestras-Janeiro, M. Gloria, 2009, "Competitive environments and protective behavior," Games and Economic Behavior, Elsevier, volume 67, issue 1, pages 245-252, September.
  3. Siem Jan Koopman & Kai Ming Lee, 2009, "Seasonality with trend and cycle interactions in unobserved components models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 58, issue 4, pages 427-448, September, DOI: 10.1111/j.1467-9876.2009.00661.x.
  4. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009, "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 71, issue 5, pages 683-713, October, DOI: 10.1111/j.1468-0084.2009.00557.x.
  5. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009, "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, volume 149, issue 1, pages 2-11, April.
  6. Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009, "Credit cycles and macro fundamentals," Journal of Empirical Finance, Elsevier, volume 16, issue 1, pages 42-54, January.
  7. Boldea, Otilia & Magnus, Jan R., 2009, "Maximum Likelihood Estimation of the Multivariate Normal Mixture Model," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 488, pages 1539-1549.
  8. Klaassen, Franc J.G.M. & Magnus, Jan R., 2009, "The efficiency of top agents: An analysis through service strategy in tennis," Journal of Econometrics, Elsevier, volume 148, issue 1, pages 72-85, January.
  9. Ridder, Ad, 2009, "Importance sampling algorithms for first passage time probabilities in the infinite server queue," European Journal of Operational Research, Elsevier, volume 199, issue 1, pages 176-186, November.
  10. Herings, P. Jean-Jacques & van der Laan, Gerard & Talman, Dolf, 2009, "Equilibria with coordination failures," Journal of Mathematical Economics, Elsevier, volume 45, issue 1-2, pages 23-37, January.
  11. van den Brink, René & Gilles, Robert P., 2009, "The outflow ranking method for weighted directed graphs," European Journal of Operational Research, Elsevier, volume 193, issue 2, pages 484-491, March.
  12. René Brink & Yukihiko Funaki, 2009, "Axiomatizations of a Class of Equal Surplus Sharing Solutions for TU-Games," Theory and Decision, Springer, volume 67, issue 3, pages 303-340, September, DOI: 10.1007/s11238-007-9083-x.

2008

  1. Arantza Estévez-Fernández & Peter Borm & Pedro Calleja & Herbert Hamers, 2008, "Sequencing games with repeated players," Annals of Operations Research, Springer, volume 158, issue 1, pages 189-203, February, DOI: 10.1007/s10479-007-0237-6.
  2. Koopman, Siem Jan & Lucas, André, 2008, "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 510-525.
  3. Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008, "Model‐based measurement of latent risk in time series with applications," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 171, issue 1, pages 265-277, January, DOI: 10.1111/j.1467-985X.2007.00496.x.
  4. Siem Jan Koopman & João Valle E Azevedo, 2008, "Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 23-51, February, DOI: 10.1111/j.1468-0084.2007.00489.x.
  5. Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008, "Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 62, issue 1, pages 104-130, February, DOI: 10.1111/j.1467-9574.2007.00375.x.
  6. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008, "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 399-424, January.
  7. Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008, "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 566-587.
  8. Ines Lindner & Holger Strulik, 2008, "Social Fractionalization, Endogenous Appropriation Norms, and Economic Development," Economica, London School of Economics and Political Science, volume 75, issue 298, pages 244-258, May, DOI: 10.1111/j.1468-0335.2007.00614.x.
  9. Ines Lindner, 2008, "The power of a collectivity to act in weighted voting games with many small voters," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 30, issue 4, pages 581-601, May, DOI: 10.1007/s00355-007-0256-x.
  10. Koster, M. & Lindelauf, R. & Lindner, I. & Owen, G., 2008, "Mass-mobilization with noisy conditional beliefs," Mathematical Social Sciences, Elsevier, volume 55, issue 1, pages 55-77, January.
  11. Ines Lindner, 2008, "A Special Case of Penrose’s Limit Theorem When Abstention is Allowed," Theory and Decision, Springer, volume 64, issue 4, pages 495-518, June, DOI: 10.1007/s11238-007-9076-9.
  12. Ines Lindner, 2008, "A generalization of Condorcet’s Jury Theorem to weighted voting games with many small voters," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 35, issue 3, pages 607-611, June, DOI: 10.1007/s00199-007-0239-2.
  13. Einmahl, John H. J. & Magnus, Jan R., 2008, "Records in Athletics Through Extreme-Value Theory," Journal of the American Statistical Association, American Statistical Association, volume 103, issue 484, pages 1382-1391.
  14. Magnus, Jan R. & Vasnev, Andrey L., 2008, "Using Macro Data To Obtain Better Micro Forecasts," Econometric Theory, Cambridge University Press, volume 24, issue 2, pages 553-579, April.
  15. Davidson, James & Magnus, Jan R. & Wiegerinck, Jan, 2008, "Notes And Problems A General Bound For The Limiting Distribution Of Breitung'S Statistic," Econometric Theory, Cambridge University Press, volume 24, issue 5, pages 1443-1455, October.
  16. Danilov, Dmitry & Magnus, Jan R., 2008, "On the estimation of a large sparse Bayesian system: The Snaer program," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 9, pages 4203-4224, May.
  17. Doornik, Jurgen A. & Ooms, Marius, 2008, "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, volume 24, issue 3, pages 432-448.
  18. Herings, P. Jean Jacques & van der Laan, Gerard & Talman, Dolf, 2008, "The average tree solution for cycle-free graph games," Games and Economic Behavior, Elsevier, volume 62, issue 1, pages 77-92, January.
  19. van den Brink, René & van der Laan, Gerard & Vasil'ev, Valeri, 2008, "Extreme points of two digraph polytopes: Description and applications in economics and game theory," Journal of Mathematical Economics, Elsevier, volume 44, issue 11, pages 1114-1125, December.
  20. René Brink & Pieter Ruys, 2008, "Technology driven organizational structure of the firm," Annals of Finance, Springer, volume 4, issue 4, pages 481-503, October, DOI: 10.1007/s10436-007-0087-x.
  21. René Brink, 2008, "Vertical wage differences in hierarchically structured firms," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 30, issue 2, pages 225-243, February, DOI: 10.1007/s00355-007-0230-7.
  22. René Brink & Peter Borm & Ruud Hendrickx & Guillermo Owen, 2008, "Characterizations of the β- and the Degree Network Power Measure," Theory and Decision, Springer, volume 64, issue 4, pages 519-536, June, DOI: 10.1007/s11238-007-9077-8.

2007

  1. Francke, Marc K. & de Vos, Aart F., 2007, "Marginal likelihood and unit roots," Journal of Econometrics, Elsevier, volume 137, issue 2, pages 708-728, April.
  2. Arantza Estévez-Fernández & Peter Borm & Herbert Hamers, 2007, "Project games," International Journal of Game Theory, Springer;Game Theory Society, volume 36, issue 2, pages 149-176, October, DOI: 10.1007/s00182-006-0058-x.
    • Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2005, "Project Games," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-91.
    • Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2005, "Project Games," Other publications TiSEM, Tilburg University, School of Economics and Management, number 21fd9b62-93b6-4a8b-9bf4-4.
    • Estevez Fernandez, M.A. & Borm, P.E.M. & Hamers, H.J.M., 2007, "Project games," Other publications TiSEM, Tilburg University, School of Economics and Management, number 809ba203-2bd2-48ce-ae6d-b.
  3. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007, "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 16-27, March.
  4. Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre, 2007, "Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 213-225, April.
  5. Borus Jungbacker & Siem Jan Koopman, 2007, "Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models," Biometrika, Biometrika Trust, volume 94, issue 4, pages 827-839.
  6. Lindner, Ines & Owen, Guillermo, 2007, "Cases where the Penrose limit theorem does not hold," Mathematical Social Sciences, Elsevier, volume 53, issue 3, pages 232-238, May.
  7. Magnus, Jan R., 2007, "The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, volume 23, issue 5, pages 1022-1032, October.
  8. Jan R. Magnus & Andrey L. Vasnev, 2007, "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, volume 10, issue 1, pages 166-192, March.
  9. Belsley, David A. & Kontoghiorghes, Erricos John & Magnus, Jan R., 2007, "The Third Special Issue on Computational Econometrics," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3258-3258, April.
  10. Dmitry Danilov & Jan R. Magnus, 2007, "Some equivalences in linear estimation (in Russian)," Quantile, Quantile, issue 3, pages 83-90, September.
  11. Herings, P. Jean-Jacques & van der Laan, Gerard & Talman, Dolf, 2007, "The socially stable core in structured transferable utility games," Games and Economic Behavior, Elsevier, volume 59, issue 1, pages 85-104, April.
  12. P. Herings & Gerard Laan & Dolf Talman, 2007, "Socially Structured Games," Theory and Decision, Springer, volume 62, issue 1, pages 1-29, February, DOI: 10.1007/s11238-006-9007-1.
  13. René Brink & Gerard Laan & Valeri Vasil’ev, 2007, "Component efficient solutions in line-graph games with applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 33, issue 2, pages 349-364, November, DOI: 10.1007/s00199-006-0139-x.
  14. Jurjen Kamphorst & Gerard Van Der Laan, 2007, "Network Formation Under Heterogeneous Costs: The Multiple Group Model," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 04, pages 599-635, DOI: 10.1142/S021919890700162X.
  15. van den Brink, Rene, 2007, "Null or nullifying players: The difference between the Shapley value and equal division solutions," Journal of Economic Theory, Elsevier, volume 136, issue 1, pages 767-775, September.

2006

  1. Estevez-Fernandez, Arantza & Borm, Peter & Hamers, Herbert, 2006, "On the core of multiple longest traveling salesman games," European Journal of Operational Research, Elsevier, volume 174, issue 3, pages 1816-1827, November.
  2. Valle e Azevedo, Joao & Koopman, Siem Jan & Rua, Antonio, 2006, "Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 278-290, July.
  3. Koopman, Siem Jan & Ooms, Marius, 2006, "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 2, pages 885-903, November.
  4. Amendola, Alessandra & Francq, Christian & Koopman, Siem Jan, 2006, "Special Issue on Nonlinear Modelling and Financial Econometrics," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2115-2117, December.
  5. Siem Jan Koopman & John A. D. Aston, 2006, "A non-Gaussian generalization of the Airline model for robust seasonal adjustment," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 5, pages 325-349, DOI: 10.1002/for.991.
  6. Borus Jungbacker & Siem Jan Koopman, 2006, "Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 385-408, DOI: 10.1080/07474930600712848.
  7. Guillermo Owen & Ines Lindner & Scott Feld & Bernard Grofman & Leonard Ray, 2006, "A simple “market value” bargaining model for weighted voting games: characterization and limit theorems," International Journal of Game Theory, Springer;Game Theory Society, volume 35, issue 1, pages 111-128, December, DOI: 10.1007/s00182-006-0055-0.
  8. Marius Ooms & Jurgen A. Doornik, 2006, "Econometric software development: past, present and future," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 60, issue 2, pages 206-224, May, DOI: 10.1111/j.1467-9574.2006.00317.x.

2005

  1. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.
  2. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005, "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, volume 29, issue 12, pages 3159-3179, December.
  3. André Lucas & Siem Jan Koopman, 2005, "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 2, pages 311-323, DOI: 10.1002/jae.833.
  4. Jan R. Magnus & Ashoke K. Sinha, 2005, "On Theil's errors," Econometrics Journal, Royal Economic Society, volume 8, issue 1, pages 39-54, March.
  5. van den Brink, Rene & van der Laan, Gerard, 2005, "A class of consistent share functions for games in coalition structure," Games and Economic Behavior, Elsevier, volume 51, issue 1, pages 193-212, April.

2004

  1. A. Estévez-Fernández & M.G. Fiestras-Janeiro, 2004, "On Properties of Several Refinements of Optimal Solutions in Linear Programming," Journal of Optimization Theory and Applications, Springer, volume 122, issue 1, pages 41-62, July, DOI: 10.1023/B:JOTA.0000041730.73603.54.
  2. Koopman S.J. & Bos C.S., 2004, "State Space Models With a Common Stochastic Variance," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 346-357, July.
  3. Lee Kai Ming & Koopman Siem Jan, 2004, "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-17, May, DOI: 10.2202/1558-3708.1210.
  4. Rob Luginbuhl & Siem Jan Koopman, 2004, "Convergence in European GDP series: a multivariate common converging trend-cycle decomposition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 19, issue 5, pages 611-636, DOI: 10.1002/jae.785.
  5. Ines Lindner & Holger Strulik, 2004, "Why not Africa? -- Growth and Welfare Effects of Secure Property Rights," Public Choice, Springer, volume 120, issue 1_2, pages 143-167, July.
  6. Manfred Holler & Ines Lindner, 2004, "Mediation as Signal," European Journal of Law and Economics, Springer, volume 17, issue 2, pages 165-173, March, DOI: 10.1023/B:EJLE.0000014574.50958.ba.
  7. Lindner, Ines & Machover, Moshe, 2004, "L.S. Penrose's limit theorem: proof of some special cases," Mathematical Social Sciences, Elsevier, volume 47, issue 1, pages 37-49, January.
  8. Ines Lindner & Holger Strulik, 2004, "Distributive politics and economic growth: the Markovian Stackelberg solution," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 23, issue 2, pages 439-444, January, DOI: 10.1007/s00199-003-0367-2.
  9. Abadir, Karim & Magnus, Jan, 2004, "03.6.1 The Central Limit Theorem for Student's Distribution—Solution," Econometric Theory, Cambridge University Press, volume 20, issue 6, pages 1261-1263, December.
  10. Danilov, Dmitry & Magnus, J.R.Jan R., 2004, "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, volume 122, issue 1, pages 27-46, September.
  11. Jan R. Magnus & Dmitry Danilov, 2004, "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 4, pages 251-274, DOI: 10.1002/for.916.
  12. Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004, "Generalizations of the KPSS‐test for stationarity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 58, issue 4, pages 483-502, November, DOI: 10.1111/j.1467-9574.2004.00272.x.
  13. Doornik Jurgen A & Ooms Marius, 2004, "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1218.
  14. Borm, Peter & van den Brink, Rene & Levinsky, Rene & Slikker, Marco, 2004, "On two new social choice correspondences," Mathematical Social Sciences, Elsevier, volume 47, issue 1, pages 51-68, January.
  15. E. Algaba & J. M. Bilbao & R. van den Brink & A. Jiménez-Losada, 2004, "An axiomatization of the Banzhaf value for cooperative games on antimatroids," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 59, issue 1, pages 147-166, February, DOI: 10.1007/s001860300307.

2003

  1. Rob Luginbuhl & Aart de Vos, 2003, "Seasonality and Markov switching in an unobserved component time series model," Empirical Economics, Springer, volume 28, issue 2, pages 365-386, April, DOI: 10.1007/s001810200136.
  2. S. J. Koopman & J. Durbin, 2003, "Filtering and smoothing of state vector for diffuse state‐space models," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 1, pages 85-98, January, DOI: 10.1111/1467-9892.00294.
  3. Siem Jan Koopman & Marius Ooms, 2003, "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 57, issue 4, pages 439-469, November, DOI: 10.1111/1467-9574.00239.
  4. Koopman, Siem Jan & Harvey, Andrew, 2003, "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1317-1333, May.
  5. Abadir, Karim M. & Magnus, Jan R., 2003, "03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance," Econometric Theory, Cambridge University Press, volume 19, issue 4, pages 691-691, August.
  6. Abadir, Karim & Magnus, Jan, 2003, "03.6.1. The Central Limit Theorem for Student's Distribution," Econometric Theory, Cambridge University Press, volume 19, issue 6, pages 1195-1195, December.
  7. Klaassen, Franc J. G. M. & Magnus, Jan R., 2003, "Forecasting the winner of a tennis match," European Journal of Operational Research, Elsevier, volume 148, issue 2, pages 257-267, July.
  8. Doornik, Jurgen A. & Ooms, Marius, 2003, "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 3, pages 333-348, March.
  9. van der Laan, Gerard & Withagen, Cees, 2003, "Quasi-equilibrium in economies with infinite dimensional commodity spaces: a truncation approach," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 3, pages 423-444, January.
  10. E. Algaba & J. M. Bilbao & R. van den Brink & A. Jiménez-Losada, 2003, "Axiomatizations of the Shapley value for cooperative games on antimatroids," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 57, issue 1, pages 49-65, April, DOI: 10.1007/s001860200250.

2002

  1. Siem Jan Koopman & Philip Hans Franses, 2002, "Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 64, issue 5, pages 509-526, December, DOI: 10.1111/1468-0084.00275.
  2. S. J. Koopman, 2002, "Discussion of ‘MCMC‐based inference’ by R. Paap," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 56, issue 1, pages 34-40, February, DOI: 10.1111/1467-9574.06002.
  3. Siem Jan Koopman & Eugenie Hol Uspensky, 2002, "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 6, pages 667-689, DOI: 10.1002/jae.652.
  4. Jan R. Magnus, 2002, "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, volume 5, issue 1, pages 225-236, June.
  5. Karim M. Abadir & Jan R. Magnus, 2002, "Notation in econometrics: a proposal for a standard," Econometrics Journal, Royal Economic Society, volume 5, issue 1, pages 76-90, June.
  6. Jan R. Magnus & Victor M. Polterovich & Dmitri L. Danilov & Alexei V. Savvateev, 2002, "Tolerance of Cheating: An Analysis Across Countries," The Journal of Economic Education, Taylor & Francis Journals, volume 33, issue 2, pages 125-135, June, DOI: 10.1080/00220480209596462.
  7. Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002, "Inflation, forecast intervals and long memory regression models," International Journal of Forecasting, Elsevier, volume 18, issue 2, pages 243-264.
  8. van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2002, "Existence and Welfare Properties of Equilibrium in an Exchange Economy with Multiple Divisible and Indivisible Commodities and Linear Production Technologies," Journal of Economic Theory, Elsevier, volume 103, issue 2, pages 411-428, April.
  9. Gerard van der Laan & René van den Brink, 2002, "A Banzhaf share function for cooperative games in coalition structure," Theory and Decision, Springer, volume 53, issue 1, pages 61-86, August, DOI: 10.1023/A:1020805106965.
  10. Gerard Van Der Laan & Harold Houba, 2002, "One-Seller/Two-Buyer Markets With Buyer Externalities And (Im)Perfect Competition," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 02, pages 141-164, DOI: 10.1142/S0219198902000616.
  11. René van den Brink & Peter Borm, 2002, "Digraph Competitions and Cooperative Games," Theory and Decision, Springer, volume 53, issue 4, pages 327-342, December, DOI: 10.1023/A:1024162419357.
  12. René van den Brink, 2002, "The apex power measure for directed networks," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 19, issue 4, pages 845-867.
  13. René van den Brink, 2002, "An axiomatization of the Shapley value using a fairness property," International Journal of Game Theory, Springer;Game Theory Society, volume 30, issue 3, pages 309-319.
  14. Peter Borm & René van den Brink & Marco Slikker, 2002, "An Iterative Procedure for Evaluating Digraph Competitions," Annals of Operations Research, Springer, volume 109, issue 1, pages 61-75, January, DOI: 10.1023/A:1016339832755.

2001

  1. F. Butter & S. Koopman, 2001, "Interaction between structural and cyclical shocks in production and employment," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 2, pages 273-296, June, DOI: 10.1007/BF02707266.
  2. Klaassen F. J G M & Magnus J. R., 2001, "Are Points in Tennis Independent and Identically Distributed? Evidence From a Dynamic Binary Panel Data Model," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 500-509, June.
  3. Gerard van der Laan & René van den Brink, 2001, "Core concepts for share vectors," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 18, issue 4, pages 759-784.

2000

  1. Francke, M K & de Vos, A F, 2000, "Efficient Computation of Hierarchical Trends," Journal of Business & Economic Statistics, American Statistical Association, volume 18, issue 1, pages 51-57, January.
  2. J. Durbin & S. J. Koopman, 2000, "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 62, issue 1, pages 3-56, DOI: 10.1111/1467-9868.00218.
  3. S. J. Koopman & J. Durbin, 2000, "Fast Filtering and Smoothing for Multivariate State Space Models," Journal of Time Series Analysis, Wiley Blackwell, volume 21, issue 3, pages 281-296, May, DOI: 10.1111/1467-9892.00186.
  4. Andrew Harvey & Siem Jan Koopman, 2000, "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, volume 3, issue 1, pages 84-107.
  5. Jan R. Magnus & Jan W. van Tongeren & Aart F. de Vos, 2000, "National Accounts Estimation Using Indicator Ratios," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 46, issue 3, pages 329-350, September, DOI: 10.1111/j.1475-4991.2000.tb00846.x.
  6. Banerjee, Anurag N. & Magnus, Jan R., 2000, "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, volume 95, issue 1, pages 157-176, March.

1999

  1. Luginbuhl, Rob & de Vos, Aart, 1999, "Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 4, pages 456-465, October.
  2. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999, "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, volume 2, issue 1, pages 107-160.
  3. Jan R. Magnus & J. Durbin, 1999, "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, volume 67, issue 3, pages 639-644, May.
  4. Banerjee, Anurag N. & Magnus, Jan R., 1999, "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, volume 92, issue 2, pages 295-323, October.
  5. Jan Magnus & Franc Klaassen, 1999, "The final set in a tennis match: Four years at Wimbledon," Journal of Applied Statistics, Taylor & Francis Journals, volume 26, issue 4, pages 461-468, DOI: 10.1080/02664769922340.
  6. Marius Ooms, 1999, "Review of SsfPack 2.2: statistical algorithms for models in state space," Econometrics Journal, Royal Economic Society, volume 2, issue 1, pages 161-166.
  7. Eisinga, Rob & Franses, Philip Hans & Ooms, Marius, 1999, "Forecasting long memory left-right political orientations," International Journal of Forecasting, Elsevier, volume 15, issue 2, pages 185-199, April.
  8. Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999, "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, volume 24, issue 3, pages 427-449.

1998

  1. Sandmann, Gleb & Koopman, Siem Jan, 1998, "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, volume 87, issue 2, pages 271-301, September.
  2. Magnus, Jan R., 1998, "Handbook Of Matrices," Econometric Theory, Cambridge University Press, volume 14, issue 3, pages 379-380, June.
  3. Herings, Jean-Jacques & van der Laan, Gerard & Venniker, Richard, 1998, "The transition from a Dreze equilibrium to a Walrasian equilibrium1," Journal of Mathematical Economics, Elsevier, volume 29, issue 3, pages 303-330, April.
  4. Gerard van der Laan & René van den Brink, 1998, "Axiomatization of a class of share functions for n-person games," Theory and Decision, Springer, volume 44, issue 2, pages 117-148, April, DOI: 10.1023/A:1004972127482.
  5. Gerard van der Laan & Zaifu Yang & Dolf Talman, 1998, "Cooperative games in permutational structure," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 427-442.
  6. (*), Gerard van der Laan & RenÊ van den Brink, 1998, "Axiomatizations of the normalized Banzhaf value and the Shapley value," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 15, issue 4, pages 567-582.

1997

  1. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997, "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, volume 15, issue 3, pages 354-368, July.
  2. Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997, "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, volume 80, issue 2, pages 387-422, October.
  3. Magnus, Jan R & Morgan, Mary S, 1997, "Design of the Experiment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 12, issue 5, pages 459-465, Sept.-Oct.
  4. Magnus, Jan R & Morgan, Mary S, 1997, "Organization of the Experiment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 12, issue 5, pages 467-476, Sept.-Oct.
  5. Magnus, Jan R & Morgan, Mary S, 1997, "The Data: A Brief Description," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 12, issue 5, pages 651-661, Sept.-Oct.
  6. Ooms, Marius & Franses, Philip Hans, 1997, "On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, volume 15, issue 4, pages 470-481, October.
  7. Ooms, Marius & Hassler, Uwe, 1997, "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, volume 56, issue 2, pages 135-141, October.
  8. Franses, Philip Hans & Ooms, Marius, 1997, "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, volume 13, issue 1, pages 117-126, March.
  9. Herings, Jean-Jacques & van der Laan, Gerard & Talman, Dolf & Venniker, Richard, 1997, "Equilibrium adjustment of disequilibrium prices," Journal of Mathematical Economics, Elsevier, volume 27, issue 1, pages 53-77, February.
  10. van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 1997, "Existence of an equilibrium in a competitive economy with indivisibilities and money," Journal of Mathematical Economics, Elsevier, volume 28, issue 1, pages 101-109, August.
  11. RenÊ van den Brink, 1997, "An Axiomatization of the Disjunctive Permission Value for Games with a Permission Structure," International Journal of Game Theory, Springer;Game Theory Society, volume 26, issue 1, pages 27-43.

1996

  1. van der Laan, Erwin & Dekker, Rommert & Salomon, Marc & Ridder, Ad, 1996, "An (s, Q) inventory model with remanufacturing and disposal," International Journal of Production Economics, Elsevier, volume 46, issue 1, pages 339-350, December.
  2. van den Brink, Rene & Gilles, Robert P., 1996, "Axiomatizations of the Conjunctive Permission Value for Games with Permission Structures," Games and Economic Behavior, Elsevier, volume 12, issue 1, pages 113-126, January.

1995

  1. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995, "Editors' introduction : The significance of testing in econometrics," Journal of Econometrics, Elsevier, volume 67, issue 1, pages 1-3, May.
  2. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995, "On tests and significance in econometrics," Journal of Econometrics, Elsevier, volume 67, issue 1, pages 5-24, May.

1994

  1. Peter Fontein & Geert Thijssen & Jan Magnus & Jan Dijk, 1994, "On levies to reduce the nitrogen surplus: The case of Dutch pig farms," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 4, issue 5, pages 455-478, October, DOI: 10.1007/BF00691923.

1993

  1. Merkus, H R & Pollock, D S G & de Vos, A F, 1993, "A Synopsis of the Smoothing Formulae Associated with the Kalman Filter," Computational Economics, Springer;Society for Computational Economics, volume 6, issue 3-4, pages 177-200, November.

1992

  1. Jacob A. Bikker & Aart F. De Vos, 1992, "An international trade flow model with zero observations: an extension of the Tobit model," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 135, pages 379-404.
  2. Harvey, Andrew C & Koopman, Siem Jan, 1992, "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, volume 10, issue 4, pages 377-389, October.
  3. Gilles, Robert P & Owen, Guillermo & van den Brink, Rene, 1992, "Games with Permission Structures: The Conjunctive Approach," International Journal of Game Theory, Springer;Game Theory Society, volume 20, issue 3, pages 277-293.

1991

  1. Magnus, Jan R. & Pesaran, Bahram, 1991, "The Bias of Forecasts from a First-Order Autoregression," Econometric Theory, Cambridge University Press, volume 7, issue 2, pages 222-235, June.

1989

  1. Jan R. Magnus, 1989, "Estimation of Variance Components and Applications," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 152, issue 2, pages 272-273, March, DOI: 10.2307/2982945.
  2. Magnus, Jan R. & Pesaran, Bahram, 1989, "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Journal of Econometrics, Elsevier, volume 42, issue 2, pages 157-179, October.

1988

  1. Alberto Holly & Jan R. Magnus, 1988, "A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures," Annals of Economics and Statistics, GENES, issue 10, pages 121-138.
  2. Hoque, Asraul & Magnus, Jan R. & Pesaran, Bahram, 1988, "The exact multi-period mean-square forecast error for the first-order autoregressive model," Journal of Econometrics, Elsevier, volume 39, issue 3, pages 327-346, November.
  3. Magnus, Jan R & Woodland, Alan D, 1988, "On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 29, issue 4, pages 707-725, November.

1987

  1. Van Der Laan, G. & Talman, A. J. J., 1987, "A convergent price adjustment process," Economics Letters, Elsevier, volume 23, issue 2, pages 119-123.

1986

  1. Jan R. Magnus, 1986, "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
  2. R.D.H. Heijmans & J.R. Magnus, 1986, "On The First–Order Efficiency And Asymptotic Normality Of Maximum Likelihood Estimators Obtained From Dependent Observations," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 40, issue 3, pages 169-188, September, DOI: 10.1111/j.1467-9574.1986.tb01513.x.
  3. Magnus, Jan R. & Neudecker, H., 1986, "Symmetry, 0-1 Matrices and Jacobians: A Review," Econometric Theory, Cambridge University Press, volume 2, issue 2, pages 157-190, August.
  4. Heijmans, Risto D. H. & Magnus, Jan R., 1986, "Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations," Econometric Theory, Cambridge University Press, volume 2, issue 3, pages 374-412, December.
  5. Heijmans, Risto D. H. & Magnus, Jan R., 1986, "Consistent maximum-likelihood estimation with dependent observations : The general (non-normal) case and the normal case," Journal of Econometrics, Elsevier, volume 32, issue 2, pages 253-285, July.
  6. Cornielje, O. J. C. & Van Der Laan, G., 1986, "The computation of quantity-constrained equilibria by virtual taxes," Economics Letters, Elsevier, volume 22, issue 1, pages 1-6.

1985

  1. Magnus, Jan R., 1985, "On Differentiating Eigenvalues and Eigenvectors," Econometric Theory, Cambridge University Press, volume 1, issue 2, pages 179-191, August.
  2. van der Laan, Gerard, 1985, "The Computation of General Equilibrium in Economies with a Block Diagonal Pattern," Econometrica, Econometric Society, volume 53, issue 3, pages 658-665, May.

1984

  1. van der Laan, Gerard, 1984, "Supply-constrained fixed price equilibria in monetary economies," Journal of Mathematical Economics, Elsevier, volume 13, issue 2, pages 171-187, October.

1983

  1. Van Der Laan, G., 1983, "Note on the optimality of unemployment equilibria," Journal of Mathematical Economics, Elsevier, volume 12, issue 2, pages 185-190, October.

1982

  1. Magnus, Jan R., 1982, "Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood," Journal of Econometrics, Elsevier, volume 19, issue 2-3, pages 239-285, August.
  2. Laan, Gerard van der, 1982, "Simplicial approximation of unemployment equilibria," Journal of Mathematical Economics, Elsevier, volume 9, issue 1-2, pages 83-97, January.

1981

  1. G. van der Laan, 1981, "Simplicial fixed point algorithms," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 35, issue 1, pages 58-58, March, DOI: 10.1111/j.1467-9574.1981.tb00712.x.

1980

  1. van der Laan, Gerard, 1980, "Equilibrium under Rigid Prices with Compensation for the consumers," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 21, issue 1, pages 63-73, February.

1979

  1. Jan R. Magnus, 1979, "The expectation of products of quadratic forms in normal variables: the practice," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 33, issue 3, pages 131-136, September, DOI: 10.1111/j.1467-9574.1979.tb00668.x.
  2. Magnus, Jan R, 1979, "Substitution between Energy and Non-Energy Inputs in the Netherlands, 1950-1976," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 20, issue 2, pages 465-484, June.

1978

  1. Jan R. Magnus, 1978, "The moments of products of quadratic forms in normal variables," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 32, issue 4, pages 201-210, December, DOI: 10.1111/j.1467-9574.1978.tb01399.x.
  2. Magnus, Jan R., 1978, "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, volume 7, issue 3, pages 281-312, April.

Books

2018

  1. Abadir,Karim M. & Heijmans,Risto D. H. & Magnus,Jan R., 2018, "Statistics," Cambridge Books, Cambridge University Press, number 9780521537452.

2015

  1. Koopman, Siem Jan & Shephard, Neil (ed.), 2015, "Unobserved Components and Time Series Econometrics," OUP Catalogue, Oxford University Press, number 9780199683666, ISBN: ARRAY(0x80f527f8).

2014

  1. Klaassen, Franc & Magnus, Jan R., 2014, "Analyzing Wimbledon: The Power of Statistics," OUP Catalogue, Oxford University Press, number 9780199355969, ISBN: ARRAY(0x83906ef8).

2012

  1. Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2012, "State Space and Unobserved Component Models," Cambridge Books, Cambridge University Press, number 9781107407435.

2007

  1. Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007, "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874, ISBN: ARRAY(0x81a502e0).

2005

  1. Abadir,Karim M. & Magnus,Jan R., 2005, "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469.

2001

  1. Durbin, James & Koopman, Siem Jan, 2001, "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, ISBN: ARRAY(0x814f98d0).

Chapters

2018

  1. Siem Jan Koopman & Jacques J. F. Commandeur & Frits D. Bijleveld & Sunčica Vujić, 2018, "Continuous Time State Space Modelling with an Application to High-Frequency Road Traffic Data," Springer Books, Springer, chapter 0, in: Kees van Montfort & Johan H. L. Oud & Manuel C. Voelkle, "Continuous Time Modeling in the Behavioral and Related Sciences", DOI: 10.1007/978-3-319-77219-6_13.

2016

  1. Laurent Callot & Johannes Tang Kristensen, 2016, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035011.

2010

  1. Jacques J. F. Commandeur & Siem Jan Koopman & Kees van Montfort, 2010, "State Space Methods for Latent Trajectory and Parameter Estimation by Maximum Likelihood," Springer Books, Springer, chapter 0, in: Kees van Montfort & Johan H.L. Oud & Albert Satorra, "Longitudinal Research with Latent Variables", DOI: 10.1007/978-3-642-11760-2_6.

2009

  1. Borus Jungbacker & Siem Jan Koopman, 2009, "Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility," Springer Books, Springer, chapter 13, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_13.

2006

  1. Borus Jungbacker & Siem Jan Koopman, 2006, "Model-Based Measurement of Actual Volatility in High-Frequency Data," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20007-5.
  2. Siem Jan Koopman & Kai Ming Lee & Soon Yip Wong, 2006, "Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Nonlinear Time Series Analysis of Business Cycles", DOI: 10.1016/S0573-8555(05)76008-9.

2000

  1. Pieter H.M. Ruys & René van den Brink & Radislav Semenov, 2000, "Values and governance systems," Chapters, Edward Elgar Publishing, chapter 27, in: Claude Ménard, "Institutions, Contracts and Organizations".

1999

  1. Andrew Harvey & Siem Jan Koopman & Jeremy Penzer, 1999, "Messy Time Series," Advances in Econometrics, Emerald Group Publishing Limited, "Messy Data", DOI: 10.1108/S0731-9053(1999)0000013007.

Software components

2015

  1. Ignace De Vos & Ilse Ruyssen & Gerdie Everaert, 2015, "XTBCFE: Stata module to perform bootstrap-corrected Fixed Effects estimation and inference in dynamic panel models," Statistical Software Components, Boston College Department of Economics, number S458009, revised .

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