Janneke van Brummelen : Citation Profile

Vrije Universiteit Amsterdam

2

H index

1

i10 index

59

Citations

RESEARCH PRODUCTION:

3

Articles

2

Papers

RESEARCH ACTIVITY:

   2 years (2022 - 2024). See details.
   Cites by year: 29
   Journals where Janneke van Brummelen has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 4 (6.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva1022
   Updated: 2026-01-10    RAS profile: 2025-02-09    
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Relations with other researchers

Works with:

Koopman, Siem Jan (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Janneke van Brummelen.

Is cited by:

Lucas, Andre (18)

Koopman, Siem Jan (15)

Blasques, Francisco (13)

Catania, Leopoldo (5)

Harvey, Andrew (5)

Lange, Rutger-Jan (4)

Blazsek, Szabolcs (4)

Escribano, Alvaro (3)

Schaumburg, Julia (3)

Wintenberger, Olivier (3)

Billé, Anna Gloria (2)

Cites to:

Koopman, Siem Jan (20)

Lucas, Andre (20)

Harvey, Andrew (18)

Creal, Drew (10)

Caivano, Michele (7)

Davis, Steven (5)

Baker, Scott (5)

Engle, Robert (5)

bloom, nicholas (5)

Phillips, Peter (4)

Wintenberger, Olivier (4)

Main data

Where Janneke van Brummelen has published?

Journals with more than one article published# docs
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Janneke van Brummelen (2025 and 2024)

YearTitle of citing document
2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Modelling circular time series. (2024). Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen ; Palumbo, Dario. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2025An order-invariant score-driven dynamic factor model. (2025). Artemova, Mariia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001277.

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2024Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models. (2024). Escribano, Alvaro ; Blazsek, Szabolcs ; Kristof, Erzsebet. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002998.

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2025Modelling bitcoin volatility: a comparative analysis of alternatives to the GARCH approach. (2025). , Aslam ; Khodabaccus, Noorshanaaz. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00838-3.

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2024Implicit score-driven filters for time-varying parameter models. (2024). van Dijk, Dick ; Lange, Rutger-Jan ; van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2024A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors. (2024). Stegehuis, Noah ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240016.

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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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2025Score-driven time-varying parameter models with splinebased densities. (2025). Koopman, Siem Jan ; Gorgi, Paolo ; van Brummelen, Janneke. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250011.

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2025Functional Location-Scale Models with Robust Observation-Driven Dynamics. (2025). Lucas, Andrae ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250027.

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2025Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes. (2025). Opschoor, Anne ; Lucas, Andrae ; Schoemaker, Daan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250039.

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2025Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers. (2025). Lin, Yicong ; Lucas, Andrae ; Ye, Shiqi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250042.

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Works by Janneke van Brummelen:

YearTitleTypeCited
2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application In: Economics Letters.
[Full Text][Citation analysis]		article0
2024A robust Beveridge-Nelson decomposition using a score-driven approach with an application.(2024) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Maximum likelihood estimation for score-driven models In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0

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