← All authors H. Peter Boswijk University of Amsterdam (from arXiv:2405.02087, 2024) · OpenAlex
50 papers in scope · 49 published · 3 on the econ.EM arXiv · 1,802 citations · h-index 19 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Torben G. Andersen Yang Zu Iliyan Georgiev Jun Yu Viktor Todorov Bo Zhou Anders Rahbek Giuseppe Cavaliere Alessandro Casini Pierre Perrón Carsten Chong Bas J. M. Werker Giacomo Toscano Ramon Van den Akker Stefano Marmi Giulia Livieri Maria Elvira Mancino Ayush Jha Mikkel Bennedsen Peter Christensen 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 (4 of 50)
Cointegration in a MIDAS Regression
published 2026 · Oxford Bulletin of Economics and Statistics · 1 citations
with Ph.H.B.F. Franses
published 2024 · Journal of Econometrics · 3 citations · first circulated 2022
working paper 2024 · arXiv
published 2023 · Econometric Reviews · 4 citations · first circulated 2022
Adaptive Testing for Cointegration With Nonstationary Volatility
published 2021 · Journal of Business and Economic Statistics · 7 citations · first circulated 2019
published 2019 · Journal of Econometrics · 1 citations
Cartel dating
published 2018 · Journal of Applied Econometrics · 21 citations · first circulated 2016
Testing for self-excitation in jumps
published 2018 · Journal of Econometrics · 39 citations
Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
published 2017 · Econometrics Journal · 15 citations
Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
published 2017 · Econometrics · 5 citations
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
published 2017 · Journal of Empirical Finance · 4 citations · first circulated 2015
Special issue on Time Series Econometrics
published 2016 · Computational Statistics & Data Analysis
Inference on co-integration parameters in heteroskedastic vector autoregressions
published 2015 · Journal of Econometrics · 38 citations · first circulated 2013
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Estimating spot volatility with high-frequency financial data
published 2014 · Journal of Econometrics · 87 citations
Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
published 2013 · Economics Letters · 2 citations
Why Frequency Matters for Unit Root Testing in Financial Time Series
published 2012 · Journal of Business and Economic Statistics · 14 citations · first circulated 2004
with Franc Klaassen
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
published 2012 · Journal of Econometrics · 10 citations
Method of moments estimation of GO-GARCH models
published 2010 · Journal of Econometrics · 51 citations
with Roy van der Weide
MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
published 2010 · Econometric Theory · 13 citations
Cointegration in a historical perspective
published 2010 · Journal of Econometrics · 7 citations
with Philip Hans Franses, Dick van Dijk
Twenty years of cointegration
published 2010 · Journal of Econometrics · 3 citations
with Philip Hans Franses, Dick van Dijk
Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
published 2010 · Economics Letters · 2 citations
Behavioral heterogeneity in stock prices
published 2007 · Journal of Economic Dynamics and Control · 50 citations · first circulated 2005
with Cars Hommes, Sebastiano Manzan
Absorption of shocks in nonlinear autoregressive models
published 2006 · Computational Statistics & Data Analysis · 30 citations
with Dick van Dijk, Philip Hans Franses
Robust Inference on Average Economic Growth*
published 2006 · Oxford Bulletin of Economics and Statistics · 5 citations
with Philip Hans Franses
On the Econometrics of the Bass Diffusion Model
published 2005 · Journal of Business and Economic Statistics · 91 citations · first circulated 2002
with Philip Hans Franses
Distribution approximations for cointegration tests with stationary exogenous regressors
published 2005 · Journal of Applied Econometrics · 26 citations · first circulated 1999
with Jurgen A. Doornik
Causality and exogeneity in econometrics
published 2005 · Journal of Econometrics · 7 citations
Identifying, estimating and testing restricted cointegrated systems: An overview
published 2004 · Statistica Neerlandica · 12 citations · first circulated 2003
with Jurgen A. Doornik
Finite sample and asymptotic methods in econometrics
published 2002 · Journal of Econometrics
Semi-nonparametric cointegration testing
published 2002 · Journal of Econometrics · 19 citations · first circulated 1997
with André Lucas
MIXED NORMALITY AND ANCILLARITY IN I (2) SYSTEMS
published 2000 · Econometric Theory · 36 citations
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
published 1998 · Serie Research Memoranda · 2 citations
with André Lucas, Nick Taylor
no link
Roots of an Orthogonal Matrix—Solution
published 1997 · Econometric Theory
with Maozo Lu
Multiple unit roots in periodic autoregression
published 1997 · Journal of Econometrics · 50 citations · first circulated 1996
with Philip Hans Franses, Niels Haldrup
Lagrance-multiplier tersts for weak exogeneity: a synthesis
published 1997 · Econometric Reviews · 57 citations
Temporal aggregation in a periodically integrated autoregressive process
published 1996 · Statistics & Probability Letters · 12 citations · first circulated 1993
with Philip Hans Franses
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
published 1996 · Journal of Time Series Analysis · 105 citations
with Philip Hans Franses
Testing Identifiability of Cointegrating Vectors
published 1996 · Journal of Business and Economic Statistics · 47 citations
Efficient inference on cointegration parameters in structural error correction models
published 1995 · Journal of Econometrics · 224 citations
Conditional and structural error correction models reply
published 1995 · Journal of Econometrics · 4 citations
Periodic Cointegration: Representation and Inference
published 1995 · The Review of Economics and Statistics · 55 citations
with Philip Hans Franses
Testing for periodic integration
published 1995 · Economics Letters · 3 citations
with Philip Hans Franses
Identifiability of cointegrated systems
published 1995 · Physics in Medicine and Biology · 45 citations
Testing for an unstable root in conditional and structural error correction models
published 1994 · Journal of Econometrics · 590 citations
A note on the asymptotics of a stochastic vector difference equation
published 1994 · Biometrika · 2 citations
with Heinz Neudecker, L. Shuangzhe, Shuangzhe Liu
Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case
published 1991 · Econometric Theory
Optimal Structural Estimation of Triangular Systems: I. The Stationary Case
published 1991 · Econometric Theory · 2 citations
Property of a Matrix Used in Multidimensional Scaling
published 1990 · Econometric Theory · 1 citations
with Heinz Neudecker
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