Janneke van Brummelen : Citation Profile

Are you Janneke van Brummelen?

Vrije Universiteit Amsterdam

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H index

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i10 index

46

Citations

RESEARCH PRODUCTION:

3

Articles

RESEARCH ACTIVITY:

   4 years (2020 - 2024). See details.
   Cites by year: 11
   Journals where Janneke van Brummelen has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 2 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva1022
   Updated: 2024-12-03    RAS profile: 2024-05-08    
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Relations with other researchers

Works with:

Koopman, Siem Jan (3)

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

Is cited by:

Koopman, Siem Jan (16)

Lucas, Andre (15)

Blasques, Francisco (13)

Catania, Leopoldo (5)

Harvey, Andrew (5)

Blazsek, Szabolcs (4)

Lange, Rutger-Jan (4)

Schaumburg, Julia (3)

Wintenberger, Olivier (3)

Escribano, Alvaro (3)

van Dijk, Dick (2)

Cites to:

Harvey, Andrew (16)

Lucas, Andre (15)

Koopman, Siem Jan (14)

Creal, Drew (8)

Caivano, Michele (7)

Baker, Scott (5)

bloom, nicholas (5)

Davis, Steven (5)

Wintenberger, Olivier (4)

Engle, Robert (3)

Monfort, Alain (3)

Main data

Where Janneke van Brummelen has published?

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

Recent works citing Janneke van Brummelen (2024 and 2023)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

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

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2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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2024Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2023A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors. (2023). Koopman, Siem Jan ; Blasques, Francisco ; Artemova, Mariia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230021.

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2023Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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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
2022Maximum likelihood estimation for score-driven models In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article1

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