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Maximum Likelihood Estimation for correctly specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Propertiesīy Francisco Blasques, SJK and Andre Lucas (2014).Commandeur, Suncica Vujic, SJK and Barbara Kasprzyk-Hordern (2014). Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Citiesīy Jacques J.F.258,īy SJK, Andre Lucas and Marcin Zamojski (2017). Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting,.Generalized Autoregressive Method of Momentsīy Drew Creal, SJK, Andre Lucas and Marcin Zamojski (2018, updated).
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Bayesian Risk Forecasting for Long Horizonsīy Agnieszka Borowska, Lennart Hoogerheide and SJK (2019).
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- A statistical model of the global carbon budgetīy Mikkel Bennedsen, Eric Hillebrand and SJK (2020).
- Forecasting in a changing world: from the great recession to the COVID-19 pandemicīy Mariia Artemova, Francisco Blasques, SJK and Zhaokun Zhang (2021).
- Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panelsīy SJK, Julia Schaumburg and Quint Wiersma (2021).
- Time-varying state correlations in state space models and their estimation via indirect inferenceīy Caterina Schiavoni, SJK, Franz Palm, Stephan Smeekes and Jan van den Brakel (2021).
- Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errorsīy Paolo Gorgi, SJK and Julia Schaumburg (2021).
- Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidenceīy Francisco Blasques, Enzo D'Innocenzo and SJK (2021).
- Phillips curve over timeīy Marente Vlekke, SJK and Martin Mellens (2021).
- Conditional score residuals and diagnostic analysis of serial dependence in time series modelsīy Francisco Blasques, Paolo Gorgi and SJK (2021).
- Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributionsīy Francisco Blasques, Janneke van Brummelen, Paolo Gorgi and SJK (2022).
- 2022, Nature) by Mikkel Bennedsen, Eric Hillebrand and SJK (2022).
- Is there evidence of a trend in the CO2 airborne fraction?.
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