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Geert Dhaene

Personal Details

First Name:Geert
Middle Name:
Last Name:Dhaene
Suffix:
RePEc Short-ID:pdh25
[This author has chosen not to make the email address public]

Affiliation

Department of Economics
Faculteit Economie en Bedrijfswetenschappen
KU Leuven

Leuven, Belgium
https://feb.kuleuven.be/research/economics/ces
RePEc:edi:cekulbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Jianbin Wu & Geert Dhaene, 2016. "Sparse multivariate GARCH," Working Papers of Department of Economics, Leuven 544324, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  2. Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," SciencePo Working papers Main hal-03391995, HAL.
  3. Geert Dhaene & Jianbin Wu, 2016. "Mixed-frequency multivariate GARCH," Working Papers of Department of Economics, Leuven 544330, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  4. Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," SciencePo Working papers Main hal-03391995, HAL.
  5. Geert Dhaene & Piet Sercu & Jianbin Wu, 2016. "The risk-return tradeoff in international stock markets: one-step multivariate GARCH-M estimation with many assets," Working Papers of Department of Economics, Leuven 544332, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  6. Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers Main hal-01174330, HAL.
  7. Geert Dhaene & Koen Jochmans, 2015. "Profile-score adjustments for incidental-parameter problems," SciencePo Working papers Main hal-03460016, HAL.
  8. Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers Main hal-01174330, HAL.
  9. Koen Jochmans & Geert Dhaene, 2015. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers Main hal-01174330, HAL.
  10. Geert Dhaene & Koen Jochmans, 2015. "Profile-score adjustments for incidental-parameter problems," SciencePo Working papers Main hal-03460016, HAL.
  11. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers Main hal-01073732, HAL.
  12. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," SciencePo Working papers Main hal-01073733, HAL.
  13. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," SciencePo Working papers Main hal-01073733, HAL.
  14. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers Main hal-01073732, HAL.
  15. DHAENE, Geert & JOCHMANS, Koen, 2010. "Split-panel jackknife estimation of fixed-effect models," LIDAM Discussion Papers CORE 2010003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. Dhaene, Geert & Santos Silva, Joao M C, 2008. "Specification and Testing of Models Estimated by Quadrature," Economics Discussion Papers 3549, University of Essex, Department of Economics.
  17. Geert Dhaene & Jan Bouckaert, 2007. "Sequential reciprocity in two-player, two-stages games: an experimental analysis," Working Papers of Department of Economics, Leuven ces0717, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  18. Geert Dhaene & Olivier Vergote, 2003. "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Working Papers of Department of Economics, Leuven ces0306, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  19. Christophe Croux & Geert Dhaene & Dirk Hoorelbeke, 2003. "Testing the Information Matrix Equality with Robust Estimators," Working Papers of Department of Economics, Leuven ces0303, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  20. Christophe Croux & Geert Dhaene & Dirk Hoorelbeke, 2003. "Robust Standard Errors for Robust Estimators," Working Papers of Department of Economics, Leuven ces0316, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  21. Geert Dhaene & Dirk Hoorelbeke, 2002. "The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation," Working Papers of Department of Economics, Leuven ces0211, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  22. BOUCKAERT, Jan & DHAENE, Geert, 2002. "Inter-ethnic trust and reciprocity: Results of an experiment with small business entrepreneurs," Working Papers 2002022, University of Antwerp, Faculty of Business and Economics.
  23. Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
  24. Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1999. "Bartlett Identities Tests," Working Papers 99-32, Center for Research in Economics and Statistics.
  25. Erik Schokkaert & Geert Dhaene & Hanno Lustig & Carine Van de Voorde & Paul Kestens & Jean-Marc Laasman & Bernard Lange & Murielle Lona, 1996. "Normuitgaven voor de Belgische ziekenfondsen: de eerste fase," ULB Institutional Repository 2013/8657, ULB -- Universite Libre de Bruxelles.
  26. Dhaene, G. & Barten, A.P., 1990. "When it all began : The 1936 Tinbergen model revisited," Other publications TiSEM d94b2fd5-4ff2-4bb5-9620-d, Tilburg University, School of Economics and Management.

    repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
    repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
    repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    repec:spo:wpmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
    repec:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m052g20qh is not listed on IDEAS
    repec:spo:wpecon:info:hdl:2441/4ect7tfnam9poo2tioundd7pb3 is not listed on IDEAS

Articles

  1. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
  2. Dhaene, Geert & Sun, Yutao, 2021. "Second-order corrected likelihood for nonlinear panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 220(2), pages 227-252.
  3. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
  4. Yutao Sun & Geert Dhaene, 2019. "xtspj: A command for split-panel jackknife estimation," Stata Journal, StataCorp LP, vol. 19(2), pages 335-374, June.
  5. Dhaene, Geert & Zhu, Yu, 2017. "Median-based estimation of dynamic panel models with fixed effects," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 398-423.
  6. Dhaene, Geert & Jochmans, Koen, 2016. "Bias-corrected estimation of panel vector autoregressions," Economics Letters, Elsevier, vol. 145(C), pages 98-103.
  7. Dhaene, Geert & Jochmans, Koen, 2016. "Likelihood Inference In An Autoregression With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1178-1215, October.
  8. De Moor, Lieven & Dhaene, Geert & Sercu, Piet, 2015. "On comparing zero-alpha tests across multifactor asset pricing models," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 235-240.
  9. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
  10. Rembert De Blander & Geert Dhaene, 2012. "Unit root tests for panel data with AR(1) errors and small T," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 101-124, February.
  11. Geert Dhaene & J. M. C. Santos Silva, 2012. "Specification and testing of models estimated by quadrature," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 322-332, March.
  12. Dhaene, Geert & Bouckaert, Jan, 2010. "Sequential reciprocity in two-player, two-stage games: An experimental analysis," Games and Economic Behavior, Elsevier, vol. 70(2), pages 289-303, November.
  13. Cédric de Ville de Goyet & Geert Dhaene & Piet Sercu, 2008. "Testing the martingale hypothesis for futures prices: Implications for hedgers," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1040-1065, November.
  14. Chesher, Andrew & Dhaene, Geert & van Dijk, Herman, 2007. "Endogeneity, instruments and identification," Journal of Econometrics, Elsevier, vol. 139(1), pages 1-3, July.
  15. J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 23-48.
  16. Dhaene, G., 2004. "03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution," Econometric Theory, Cambridge University Press, vol. 20(1), pages 227-227, February.
  17. Bouckaert, Jan & Dhaene, Geert, 2004. "Inter-ethnic trust and reciprocity: results of an experiment with small businessmen," European Journal of Political Economy, Elsevier, vol. 20(4), pages 869-886, November.
  18. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.
  19. G. Dhaene, 2004. "Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(3), pages 421-440.
  20. Dhaene, Geert & Lauwers, Luc, 2004. "04.2.2. Characterizations of Hermitian Projectors," Econometric Theory, Cambridge University Press, vol. 20(2), pages 427-427, April.
  21. Dhaene, Geert & Schokkaert, Erik & Van de Voorde, Carine, 2003. "Best affine unbiased response decomposition," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 242-253, August.
  22. Geert Dhaene, 2003. "14th EC2 conference," Economics Bulletin, AccessEcon, vol. 28(56), pages 1-56.
  23. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
  24. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.
  25. Erik Schokkaert & Geert Dhaene & Carine Van De Voorde, 1998. "Risk adjustment and the trade‐off between efficiency and risk selection: an application of the theory of fair compensation," Health Economics, John Wiley & Sons, Ltd., vol. 7(5), pages 465-480, August.
  26. Erik Schokkaert & Geert Dhaene & Hanno Lustig & Carine Van de Voorde & Paul Kestens & B. Laasman, 1995. "Dépenses normatives des organismes assureurs dans le cadre de l'introduction de la responsabilité financière (1995-1996)," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 149, pages 3-30.
  27. Dhaene, Geert & Barten, Anton P., 1989. "When it all began : The 1936 Tinbergen model revisited," Economic Modelling, Elsevier, vol. 6(2), pages 203-219, April.

Software components

  1. Yutao Sun & Geert Dhaene, 2019. "XTSPJ: Stata module for split-panel jackknife estimation," Statistical Software Components S458651, Boston College Department of Economics.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (8) 2008-04-12 2014-04-11 2015-07-11 2015-08-25 2016-07-09 2016-07-09 2016-07-09 2017-04-30. Author is listed
  2. NEP-ECM: Econometrics (5) 2002-02-14 2014-02-15 2014-04-11 2016-07-09 2019-07-15. Author is listed
  3. NEP-CBE: Cognitive and Behavioural Economics (2) 2007-12-15 2008-04-12
  4. NEP-EXP: Experimental Economics (2) 2007-12-15 2008-04-12
  5. NEP-GER: German Papers (2) 2014-04-11 2014-04-11
  6. NEP-GTH: Game Theory (2) 2007-12-15 2008-04-12
  7. NEP-RMG: Risk Management (2) 2016-07-09 2016-07-09
  8. NEP-DCM: Discrete Choice Models (1) 2010-06-11
  9. NEP-EVO: Evolutionary Economics (1) 2008-04-12
  10. NEP-FMK: Financial Markets (1) 2016-07-09
  11. NEP-FOR: Forecasting (1) 2016-07-09
  12. NEP-MST: Market Microstructure (1) 2016-07-09
  13. NEP-ORE: Operations Research (1) 2008-04-12

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