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Geert Dhaene

Institution: KU Leuven

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1989

Most Recent: 2022

RePEc ID: pdh25 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 2.02 0.00 0.34 2.35 61%
Last 10 Years 0.00 4.04 1.01 0.84 5.89 76%
All Time 4.04 5.38 7.40 2.52 19.34 94%

Publication Statistics

Raw Publications 17
Coauthorship-Adjusted Count 16.16

Publications (17)

Year Article Journal Tier Authors
2022 Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets Journal of Futures Markets C 3
2021 Second-order corrected likelihood for nonlinear panel models with fixed effects Journal of Econometrics A 2
2020 Incorporating overnight and intraday returns into multivariate GARCH volatility models Journal of Econometrics A 2
2016 Bias-corrected estimation of panel vector autoregressions Economics Letters C 2
2016 LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS Econometric Theory B 2
2015 Split-panel Jackknife Estimation of Fixed-effect Models Review of Economic Studies S 2
2015 On comparing zero-alpha tests across multifactor asset pricing models Journal of Banking & Finance B 3
2012 Specification and testing of models estimated by quadrature Journal of Applied Econometrics B 2
2010 Sequential reciprocity in two-player, two-stage games: An experimental analysis Games and Economic Behavior B 2
2008 Testing the martingale hypothesis for futures prices: Implications for hedgers Journal of Futures Markets C 3
2007 Endogeneity, instruments and identification Journal of Econometrics A 3
2004 The information matrix test with bootstrap-based covariance matrix estimation Economics Letters C 2
2004 04.2.2. Characterizations of Hermitian Projectors Econometric Theory B 2
2004 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution Econometric Theory B 1
1998 Risk adjustment and the trade‐off between efficiency and risk selection: an application of the theory of fair compensation Health Economics B 3
1998 On the hypothesis of psychological barriers in stock markets and Benford's Law Journal of Empirical Finance C 3
1989 When it all began : The 1936 Tinbergen model revisited Economic Modeling C 2