← All authors Franz C. Palm Maastricht University (from arXiv:1901.11355, 2019) · ORCID · OpenAlex
94 papers in scope · 94 published · 1 on the econ.EM arXiv · 5,415 citations · h-index 31 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ovielt Baltodano López Giulia Carallo Federico Bassetti Roberto Casarin Caterina Schiavoni Jan van den Brakel Etiënne Wijler Stephan Smeekes Andrea Bastianin Graziano Moramarco Emanuele Bacchiocchi Marina Friedrich Luca Margaritella Jean-Pierre Urbain Alain Hecq Eduardo Mendes Ines Wilms Marcelo C. Medeiros Ziwei Mei Zhentao Shi Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 94)
Time-varying correlations in multivariate unobserved components time series models
published 2024 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 1 citations
Consistency of averaged impulse response estimators in vector autoregressive models
published 2024 · Journal of Time Series Analysis
published 2020 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 4 citations · first circulated 2019
Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes
published 2020 · De Economist · 4 citations · first circulated 2012
with Daniel Pollmann, Thomas Dohmen
Econometric Analysis of Panel Data Models with Multifactor Error Structures
published 2019 · Annual Review of Economics · 22 citations
with Hande Karabiyik, Jean-Pierre Urbain
Focused information criterion for locally misspecified vector autoregressive models
published 2017 · Econometric Reviews · 6 citations
Multilevel Hierarchical Bayesian Versus State Space Approach in time Series Small Area Estimation: the Dutch Travel Survey
published 2017 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 2 citations
On the Univariate Representation of BEKK Models with Common Factors
published 2015 · Journal of Time Series Econometrics · 13 citations · first circulated 2012
Dynamic models of R & D, innovation and productivity: Panel data evidence for Dutch and French manufacturing
published 2015 · European Economic Review · 110 citations · first circulated 2013
with Wladimir Raymond, Jacques Mairesse, Pierre Mohnen
Multivariate State Space Approach to Variance Reduction in Series with Level and Variance Breaks Due to Survey Redesigns
published 2015 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 12 citations
Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation
published 2014 · Management Science · 37 citations · first circulated 2011
with Bart F. Diris, Peter C. Schotman
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
published 2014 · Computational Statistics & Data Analysis · 67 citations
Stock Markets, Banks and Long Run Economic Growth: A Panel Cointegration-Based Analysis
published 2013 · De Economist · 26 citations
with Laurent Cavenaile, Christian Gengenbach
Common Intraday Periodicity
published 2011 · Journal of Financial Econometrics · 27 citations
Obituary
published 2010 · Journal of Empirical Finance
Cross-sectional dependence robust block bootstrap panel unit root tests
published 2010 · Journal of Econometrics · 127 citations · first circulated 2008
Factor structures for panel and multivariate time series data
published 2010 · Journal of Econometrics · 4 citations
Persistence of Innovation in Dutch Manufacturing: Is It Spurious?
published 2010 · The Review of Economics and Statistics · 71 citations · first circulated 2006
with Wladimir Raymond, Pierre Mohnen, Sybrand Schim van der Loeff
Banking and Debt Crises in Europe: The Dangerous Liaisons?
published 2010 · De Economist · 61 citations
with Bertrand Candelon
Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
published 2009 · Econometric Reviews · 211 citations · first circulated 2004
A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
published 2009 · Econometric Theory · 3 citations
Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance
published 2009 · Journal of Empirical Finance · 3 citations
Nonparametric bootstrap confidence intervals for deterministic trends in temperature time series data
published 2009 · EGUGA
no link
Studying co-movements in large multivariate data prior to multivariate modelling
published 2008 · Journal of Econometrics · 34 citations
Financial Constraints and Other Obstacles: are they a Threat to Innovation Activity?
published 2008 · De Economist · 210 citations
with Pierre Mohnen, Sybrand Schim van der Loeff, A. Tiwari, Amaresh Kumar Tiwari
Bootstrap Unit‐Root Tests: Comparison and Extensions
published 2008 · Journal of Time Series Analysis · 93 citations · first circulated 2006
Regret aversion and annuity risk in defined contribution pension plans
published 2008 · Insurance Mathematics and Economics · 10 citations
with Rik Frehen, Roy P. M. M. Hoevenaars, Peter C. Schotman
Martin M.G. Fase Retires from the Board of the Editors
published 2008 · De Economist
Macro-panels and reality
published 2007 · Economics Letters · 13 citations
Central bank FOREX interventions assessed using realized moments
published 2007 · Journal of International Financial Markets Institutions and Money · 40 citations · first circulated 2004
Central bank intervention and exchange rate volatility, its continuous and jump components
published 2007 · International Journal of Finance & Economics · 61 citations · first circulated 2006
Information gathering through alliances
published 2007 · 27 citations
with Wilko Letterie, John Hagedoorn, Hans van Kranenburg
Central bank intervention in the foreign exchange markets assessed using realized moments
published 2007 · Journal of International Financial Markets Institutions and Money
no link
Cointegration Testing in Panels with Common Factors*
published 2006 · Oxford Bulletin of Economics and Statistics · 131 citations · first circulated 2005
Introduction to the special issue on International Finance
published 2006 · Journal of Empirical Finance · 2 citations
with Ingrid M. Werner, Christian C. P. Wolff
A Classification of Dutch Manufacturing based on a Model of Innovation
published 2006 · De Economist · 17 citations
with Wladimir Raymond, Pierre Mohnen, Sybrand Schim van der Loeff
Common cyclical features analysis in VAR models with cointegration
published 2005 · Journal of Econometrics · 58 citations · first circulated 2001
Introduction to the special issue on behavioral finance
published 2004 · Journal of Empirical Finance · 12 citations
with Werner De Bondt, Christian C. P. Wolff
Exit and Survival in a Concentrating Industry: The Case of Daily Newspapers in the Netherlands
published 2002 · 48 citations
with H.L. van Kranenburg, Gerard A. Pfann, Hans van Kranenburg
Notes and communications: The Tail-Fatness of FX Returns Reconsidered
published 2002 · De Economist · 32 citations
with Ronald Huisman, Kees Koedijk, Clemens Kool
SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
published 2002 · Econometric Reviews · 31 citations
Introduction
published 2001 · De Economist
with M.M.G. Fase
Tail-Index Estimates in Small Samples
published 2001 · Journal of Business and Economic Statistics · 301 citations
with Ronald Huisman, Kees Koedijk, Clemens Kool
Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles
published 2000 · Oxford Bulletin of Economics and Statistics · 81 citations
Notes and Communications – Comovements in International Stock Markets: What can we Learn From a Common Trend-Common Cycle Analysis?
published 2000 · De Economist · 8 citations
Correction
published 2000 · Econometrica · 7 citations
with Arnold Zellner
Labor market dynamics when effort depends on wage growth comparisons
published 2000 · Empirical Economics · 12 citations · first circulated 1996
Pooling in Dynamic Panel-Data Models: An Application to Forecasting GDP Growth Rates
published 2000 · Journal of Business and Economic Statistics · 63 citations
with André J. Hoogstrate, Gerard A. Pfann
The Life Cycle of Daily Newspapers in The Netherlands: 1848–1997
published 1998 · De Economist · 6 citations
with H.L. van Kranenburg, Gerard A. Pfann
Some Reflections on the Euro and Competition in European Financial Markets
published 1998 · De Economist
Sources of asymmetry in production factor dynamics
published 1998 · Journal of Econometrics · 28 citations
with Gerard A. Pfann
Statistical demand functions for food in the USA and the Netherlands
published 1997 · Journal of Applied Econometrics · 25 citations
Inflation differentials and excess returns in the European Monetary System
published 1997 · Journal of International Financial Markets Institutions and Money · 6 citations · first circulated 1993
with Peter Vlaar
The European exchange rate mechanism and the European monetary union
published 1996 · De Economist
A dynamic contracting model for wages and employment in three European economies
published 1996 · European Economic Review · 21 citations · first circulated 1993
with David de la Croix, Gerard A. Pfann
GARCH Models of Volatility
published 1996 · Medical Entomology and Zoology · 168 citations
Stochastic implications of the life cycle consumption model under rational habit formation
published 1996 · Recherches économiques de Louvain · 18 citations
with C.C.A. Winder
Bayesian model selection and prediction with empirical applications comments
published 1995 · Journal of Econometrics · 2 citations
Unravelling trend and stationary components of total factor productivity
published 1995 · Annals of Economics and Statistics · 4 citations
with Gerard A. Pfann
no link
The determinants of unemployment and jobsearch duration in The Netherlands
published 1994 · De Economist · 23 citations
with C. Kerckhoffs, Chris de Neubourg
Adjustment costs and time-to-build in factor demand in the U.S. manufacturing industry
published 1993 · Empirical Economics · 14 citations
with Hans Peeters, Gerard A. Pfann
The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps
published 1993 · Journal of Business and Economic Statistics · 219 citations
with Peter Vlaar
Premia in Forward Foreign Exchange as Unobserved Components: A Note
published 1993 · Journal of Business and Economic Statistics · 27 citations · first circulated 1991
with Theo Nijman, Christian C. P. Wolff
Statement by the editors
published 1993 · Journal of Empirical Finance · 13 citations
Asymmetric Adjustment Costs in Non-linear labour Demand Models for the Netherlands and U.K. Manufacturing Sectors
published 1993 · The Review of Economic Studies · 151 citations · first circulated 1992
with Gerard A. Pfann
To combine or not to combine? issues of combining forecasts
published 1992 · Journal of Forecasting · 15 citations
with Arnold Zellner
Report of the chairman of the standing committee for Students' Affairs
published 1992 · European Economic Review
Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
published 1991 · International Economic Review · 10 citations · first circulated 1989
with Theo Nijman
Interrelation, Structural Changes and Cointegration in a Model for Manufacturing Demand in the Nederlands
published 1991 · Recherches économiques de Louvain · 4 citations
with Gerard A. Pfann
Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models
published 1990 · Journal of Business and Economic Statistics · 35 citations
with Theo Nijman
PARAMETER IDENTIFICATION IN ARMA PROCESSES IN THE PRESENCE OF REGULAR BUT INCOMPLETE SAMPLING
published 1990 · Journal of Time Series Analysis · 21 citations
with Theo Nijman
INTERRELATED DEMAND RATIONAL EXPECTATIONS MODELS FOR TWO TYPES OF LABOUR *
published 1990 · Oxford Bulletin of Economics and Statistics · 14 citations
with Gerard A. Pfann
Intertemporal consumer behaviour under structural changes in income
published 1989 · Econometric Reviews · 21 citations
with C.C.A. Winder
Reply to comments on intertemporal consumer
published 1989 · Econometric Reviews
with C.C.A. Winder
Efficiency gains due to using missing data procedures in regression models
published 1988 · Statistical Papers · 12 citations
with Theo Nijman
Computing Wald criteria for nested hypotheses
published 1988 · Statistical Papers · 2 citations · first circulated 1985
with David A. Kodde
Testing the stability of a linear dynamic model
published 1987 · Statistische Hefte · 2 citations
with David A. Kodde
A parametric test of the negativity of the substitution matrix
published 1987 · Journal of Applied Econometrics · 14 citations
with David A. Kodde
Macroeconomic Forecasting Using Pooled International Data
published 1987 · Journal of Business and Economic Statistics · 71 citations
with Antonio García-Ferrer, Richard Highfield, Arnold Zellner
Structural econometric modeling and time series analysis
published 1986 · Applied Mathematics and Computation · 21 citations
with Carl F. Christ, Christopher A. Sims
Wald Criteria for Jointly Testing Equality and Inequality Restrictions
published 1986 · Econometrica · 1444 citations
with David A. Kodde
A short-run econometric analysis of the international coffee market
published 1986 · European Review of Agricultural Economics · 12 citations
with E. Vogelvang
The Construction and Use of Approximations for Missing Quarterly Observations: A Model-Based Approach
published 1986 · Journal of Business and Economic Statistics · 19 citations
with Th.E. Nijman, Theo Nijman
Missing Observations in the Dynamic Regression Model
published 1984 · Econometrica · 57 citations
with Th.E. Nijman, Theo Nijman
Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties
published 1984 · International Economic Review · 1 citations · first circulated 1980
with E. Vogelvang, David A. Kodde
Significance tests and spurious correlation in regression models with autocorrelated errors
published 1983 · Statistische Hefte · 39 citations
with J.M. Sneek
Linear regression using both temporally aggregated and temporally disaggregated data
published 1982 · Journal of Econometrics · 13 citations
with Theo Nijman
Het genereren en evalueren van voorspellingen van omzet en netto winst
published 1982 · Maandblad Voor Accountancy en Bedrijfseconomie
with D. A. Kodde, Ruud A.I. van Frederikslust
Computing wald criteria for nested hypotheses with Econometric Applications
published 1982 · Serie Research Memoranda
with David A. Kodde
no link
Large sample estimation and testing procedures for dynamic equation systems
published 1980 · Journal of Econometrics · 69 citations · first circulated 1978
with Arnold Zellner
On univariate time series methods and simultaneous equation econometric models
published 1977 · Journal of Econometrics · 33 citations
Testing the dynamic specification of an econometric model with an application to Belgian data
published 1976 · European Economic Review · 11 citations
Analyse chronologique Spécification de modèles dynamiques à equations simultanées
published 1976 · Recherches économiques de Louvain
Time series analysis and simultaneous equation econometric models
published 1974 · Journal of Econometrics · 648 citations
with Arnold Zellner
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