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H. Peter Boswijk

Global rank #2107 97%

Institution: Universiteit van Amsterdam

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.uva.nl/profile/h.p.boswijk

First Publication: 1992

Most Recent: 2019

RePEc ID: pbo14 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 1.17 0.67 0.00 3.02
All Time 0.00 14.58 9.38 0.00 40.55

Publication Statistics

Raw Publications 26
Coauthorship-Adjusted Count 28.10

Publications (26)

Year Article Journal Tier Authors
2019 Cartel dating Journal of Applied Econometrics B 3
2018 Testing for self-excitation in jumps Journal of Econometrics A 3
2016 Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics A 4
2015 Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics A 3
2014 Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors Economics Letters C 2
2014 Estimating spot volatility with high-frequency financial data Journal of Econometrics A 2
2011 Why Frequency Matters for Unit Root Testing in Financial Time Series Journal of Business & Economic Statistics A 2
2011 Method of moments estimation of GO-GARCH models Journal of Econometrics A 2
2010 MIXED NORMAL INFERENCE ON MULTICOINTEGRATION Econometric Theory B 1
2010 Nuisance parameter free inference on cointegration parameters in the presence of a variance shift Economics Letters C 1
2010 Cointegration in a historical perspective Journal of Econometrics A 3
2010 Twenty years of cointegration Journal of Econometrics A 3
2007 Behavioral heterogeneity in stock prices Journal of Economic Dynamics and Control B 3
2006 Causality and exogeneity in econometrics Journal of Econometrics A 3
2006 Robust Inference on Average Economic Growth* Oxford Bulletin of Economics and Statistics B 2
2002 Finite sample and asymptotic methods in econometrics Journal of Econometrics A 2
2002 Semi-nonparametric cointegration testing Journal of Econometrics A 2
2000 MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS Econometric Theory B 1
1997 Multiple unit roots in periodic autoregression Journal of Econometrics A 3
1995 Periodic Cointegration: Representation and Inference. Review of Economics and Statistics A 2
1995 Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics A 1
1995 Conditional and structural error correction models reply Journal of Econometrics A 1
1995 Testing for periodic integration Economics Letters C 2
1994 Testing for an unstable root in conditional and structural error correction models Journal of Econometrics A 1
1993 On the Formulation of Wald Tests on Long-Run Parameters. Oxford Bulletin of Economics and Statistics B 1
1992 Dynamic Specification and Cointegration. Oxford Bulletin of Economics and Statistics B 2