Prof. dr. H.P. (Peter) Boswijk
Faculteit Economie en Bedrijfskunde
Amsterdam School of Economics
Bezoekadres
- Roetersstraat 11
- Kamernummer: E3.23
Postadres
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Postbus 15867
1001 NJ Amsterdam
Contactgegevens
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Publicaties
- refereed (50)
- wetenschappelijk (48)
- vakpublicatie (7)
- populair wetenschappelijk (2)
- supervised theses (11)
- proefschrift (1)
- working papers / preprints (35)
- datasets (3)
2024
- Boswijk, H. P., Laeven, R. J. A., & Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation. Journal of Econometrics, 244(1), Article 105864. https://doi.org/10.1016/j.jeconom.2024.105864
2023
Boswijk, H. P., Cavaliere, G., De Angelis, L., & Taylor, A. M. R. (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42(9-10), 725-757. https://doi.org/10.1080/07474938.2023.2222633 [details]
2022
- Boswijk, H. P., & Zu, Y. (2022). Adaptive Testing for Cointegration With Nonstationary Volatility. Journal of Business & Economic Statistics, 40(2), 744-755. Advance online publication. https://doi.org/10.1080/07350015.2020.1867558 [details]
2021
- Boswijk, H. P., Cavaliere, G., Georgiev, I., & Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility. Journal of Econometrics, 224(1), 161-180. Advance online publication. https://doi.org/10.1016/j.jeconom.2021.01.005 [details]
2019
- Boswijk, H. P., Bun, M. J. G., & Schinkel, M. P. (2019). Cartel Dating. Journal of Applied Econometrics, 34(1), 26-42. Advance online publication. https://doi.org/10.2139/ssrn.2860613, https://doi.org/10.1002/jae.2660 [details]
2018
- Boswijk, H. P., & Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility. Econometrics Journal, 21(2), 87-113. https://doi.org/10.1111/ectj.12100 [details]
- Boswijk, H. P., Laeven, R. J. A., & Yang, X. (2018). Testing for self-excitation in jumps. Journal of Econometrics, 203(2), 256-266. https://doi.org/10.1016/j.jeconom.2017.11.007 [details]
2017
- Boswijk, H. P., & Paruolo, P. (2017). Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR systems. Econometrics, 5(3), Article 28. Advance online publication. https://doi.org/10.3390/econometrics5030028 [details]
- Zu, Y., & Boswijk, H. P. (2017). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. Journal of Empirical Finance, 41, 53-75. Advance online publication. https://doi.org/10.1016/j.jempfin.2016.12.005 [details]
2016
- Boswijk, H. P., Cavaliere, G., Rahbek, A., & Taylor, A. M. R. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192(1), 64-85. Advance online publication. https://doi.org/10.1016/j.jeconom.2015.07.005 [details]
2015
- Boswijk, H. P., Jansson, M., & Nielsen, M. Ø. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model. Journal of Econometrics, 184(1), 97-110. Advance online publication. https://doi.org/10.1016/j.jeconom.2014.08.007 [details]
2014
- Zu, Y., & Boswijk, H. P. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), 117-135. Advance online publication. https://doi.org/10.1016/j.jeconom.2014.04.001 [details]
- van Garderen, K. J., & Boswijk, H. P. (2014). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. Economics Letters, 122(2), 224-228. Advance online publication. https://doi.org/10.1016/j.econlet.2013.12.003 [details]
2012
- Boswijk, H. P., & Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series. Journal of Business & Economic Statistics, 30(3), 351-357. https://doi.org/10.1080/07350015.2011.648858 [details]
- Boswijk, P., Griffioen, G., & Hommes, C. (2012). Success and failure of technical analysis in the cocoa futures market. In C. Kyrtsou, & C. Vorlow (Eds.), Progress in financial markets research (pp. 25-70). (Financial institutions and services). New York: Nova Science. [details]
2011
- Boswijk, H. P., & van der Weide, R. (2011). Method of moments estimation of GO-GARCH models. Journal of Econometrics, 163(1), 118-126. https://doi.org/10.1016/j.jeconom.2010.11.011 [details]
2010
- Boswijk, H. P. (2010). Mixed normal inference on multicointegration. Econometric Theory, 26(5), 1565-1576. https://doi.org/10.1017/S0266466610000095 [details]
- Boswijk, H. P. (2010). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift. Economics Letters, 107(2), 190-193. https://doi.org/10.1016/j.econlet.2010.01.021 [details]
- Boswijk, H. P., Franses, P. H., & van Dijk, D. (2010). Cointegration in a historical perspective. Journal of Econometrics, 158(1), 156-159. https://doi.org/10.1016/j.jeconom.2010.03.025 [details]
- Boswijk, H. P., Franses, P. H., & van Dijk, D. (2010). Twenty years of cointegration. Journal of Econometrics, 158(1), 1-2. https://doi.org/10.1016/j.jeconom.2010.03.001 [details]
2007
- Boswijk, H. P., Hommes, C. H., & Manzan, S. (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics & Control, 31(6), 1938-1970. https://doi.org/10.1016/j.jedc.2007.01.001 [details]
- van Dijk, D., Franses, P. H., & Boswijk, H. P. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics and Data Analysis, 51(9), 4206-4226. https://doi.org/10.1016/j.csda.2006.04.033
2006
- Bauwens, L., Boswijk, H. P., & Urbain, J. P. (2006). Causality and exogeneity in econometrics (guest editorial). Journal of Econometrics, 132(2), 305-309. https://doi.org/10.1016/j.jeconom.2005.02.001 [details]
- Boswijk, H. P., & Franses, P. H. (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68(3), 345-370. https://doi.org/10.1111/j.1468-0084.2006.00165.x [details]
2005
- Boswijk, H. P., & Doornik, J. A. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors. Journal of Applied Econometrics, 20(6), 797-810. https://doi.org/10.1002/jae.811
- Boswijk, H. P., & Franses, P. H. (2005). On the econometrics of the Bass diffusion model. Journal of Business & Economic Statistics, 23(3), 255-268. https://doi.org/10.1198/073500104000000604
2004
- Boswijk, H. P., & Doornik, J. A. (2004). Identifying, estimating and testing restricted cointegrated systems: An overview. Statistica Neerlandica, 58(4), 440-465. https://doi.org/10.1111/j.1467-9574.2004.00270.x [details]
2002
- Boswijk, H. P., & Lucas, A. (2002). Semi-nonparametric cointegration testing. Journal of Econometrics, 108(2), 253-280. https://doi.org/10.1016/S0304-4076(01)00136-1 [details]
2001
- Franses, P. H. B. F., Srinivasan, S., & Boswijk, H. P. (2001). Testing for Unit Roots in Market Shares. Marketing Letters, 12(4), 351-364. https://doi.org/10.1023/A:1012276406686 [details]
2000
- Boswijk, H. P. (2000). Mixed Normality and Ancillarity in I(2) Systems. Econometric Theory, (16), 878-904. http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=61969 [details]
- Boswijk, H. P., Lucas, A., & Taylor, N. (2000). A Comparison of Parametric, Semi-Nonparametric Adaptive, and Nonparametric Cointegration Tests. In T. B. Fomby, & R. C. Hill (Eds.), Applying kernel and nonparametric estimation to economic topics (pp. 25-47). (Advances in econometrics; No. 14). Stamford, CT: JAI Press.
1999
- Boswijk, H. P. (1999). S-Ancillarity and Stong Exogeneity. In D. S. G. Pollock, R. D. H. Heijmans, & A. Satorra (Eds.), Innovations in Multivariate Statistical Analysis. A Festschrift for Heinz Neudecker Dordrecht: Kluwer Academic Publishers. [details]
1997
- Boswijk, H. P., & Lu, M. (1997). Roots of an orthogonal matrix - solution. Econometric Theory, 13(6), 894-895. https://doi.org/10.1017/S026646660000637X [details]
- Boswijk, H. P., & Urbain, J. P. (1997). Lagrange-multiplier tests for weak exogeneity: a synthesis. Econometric Reviews, 16(1), 21-38. https://doi.org/10.1080/07474939708800370 [details]
- Boswijk, H. P., Franses, P. H., & Haldrup, N. (1997). Multiple unit roots in periodic autoregression. Journal of Econometrics, 80(1), 167-193. https://doi.org/10.1016/S0304-4076(97)81127-X [details]
1996
- Boswijk, H. P. (1996). Testing identifiablility of cointegrating vectors. Journal of Business & Economic Statistics, 14(2), 153-160. https://doi.org/10.2307/1392426 [details]
- Boswijk, H. P., & Franses, P. H. (1996). Unit roots in periodic autoregressions. Journal of Time Series Analysis, 17(3), 221-245. https://doi.org/10.1111/j.1467-9892.1996.tb00274.x [details]
- Franses, P. H., & Boswijk, H. P. (1996). Temporal aggregation in a periodically integrated autoregressive process. Statistics & Probability Letters, 30(3), 235-240. https://doi.org/10.1016/0167-7152(95)00225-1 [details]
1995
- Boswijk, H. P. (1995). Conditional and structural error correction models: Reply. Journal of Econometrics, 69(1), 173-175. https://doi.org/10.1016/0304-4076(94)01667-O [details]
- Boswijk, H. P. (1995). Efficient inference on cointegration parameters in structural error correction models. Journal of Econometrics, 69(1), 133-158. https://doi.org/10.1016/0304-4076(94)01665-M [details]
- Boswijk, H. P., & Franses, P. H. (1995). Periodic cointegration: Representation and inference. Review of Economics and Statistics, LXXVII, 436-454. [details]
- Boswijk, H. P., & Franses, P. H. (1995). Testing for periodic integration. Economics Letters, 48, 241-248. [details]
1994
- Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63(1), 37-60. https://doi.org/10.1016/0304-4076(93)01560-9
- Boswijk, H. P., Neudecker, H., & Liu, S. (1994). A note on the asymptotics of a stochastic vector difference equation. Biometrika, 81(1), 216-218. https://doi.org/10.1093/biomet/81.1.216 [details]
- Boswijk, P., & Neudecker, H. (1994). An inequality between perpendicular least-squares and ordinary least-squares. Econometric Theory, 10(2), 441-442. https://doi.org/10.1017/S0266466600008537 [details]
1993
- Boswijk, H. P. (1993). On the formulation of Wald tests on long-run parameters. Oxford Bulletin of Economics and Statistics, 55(1), 137-144. https://doi.org/10.1111/j.1468-0084.1993.mp55001008.x
1992
- Boswijk, H. P., & Franses, P. H. (1992). Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 54(3), 369-381. https://doi.org/10.1111/j.1468-0084.1992.tb00007.x
1991
- Boswijk, H. P. (1991). Optimal structural estimation of triangular systems: I. The stationary case. Econometric Theory, 7(3), 428-431. https://doi.org/10.1017/S0266466600004667
- Philips, P. C. B., Dolado, J. J., & Boswijk, H. P. (1991). Optimal structural estimation of triangular systems: II. The nonstationary case. Econometric Theory, 7(4), 549-558. https://doi.org/10.1017/S0266466600004837
1990
- Boswijk, H. P., & Neudecker, H. (1990). Property of a matrix used in multidimensional scaling. Econometric Theory, 6(2), 285-285. https://doi.org/10.1017/S0266466600005181
2016
- Boswijk, H. P., Francq, C., Hallin, M., & Taylor, R. (2016). Editorial: Special Issue on Time Series Econometrics. Computational Statistics and Data Analysis, 100, 631-632. https://doi.org/10.1016/j.csda.2016.02.006 [details]
2007
- Boswijk, H. P. (2007). Riemann-Stieltjes en Itô integralen in het actuariaat. In A. E. van Heerwaarden, W. J. Willemse, & G. Leuven (Eds.), Sensei in het Actuariaat. Liber Amicorum voor Prof. dr. Henk Wolthuis AAG (pp. 13-19). Amsterdam: Universiteit van Amsterdam.
2003
- Boswijk, H. P., & Doornik, J. A. (2003). Identifying, estimating and testing restricted cointegrated systems: An overview. (UvA-econometrics working paper; No. 1). UvA. [details]
- Boswijk, H. P., & Klaassen, F. (2003). Why frequency matters for unit root testing. (UvA-econometrics working paper; No. 12). UvA. [details]
- van der Ploeg, A. P. C., Boswijk, H. P., & de Jong, F. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (UvA-econometrics working paper; No. 13). UvA. [details]
2002
- Boswijk, H. P., & Franses, P. H. (2002). How large is average economic growth? : evidence from a robust method. (Tinbergen Institute discussion paper; No. TI 02-002/4). Tinbergen Institute. [details]
- Boswijk, H. P., & Franses, P. H. (2002). Robust inference on average economic growth. (UvA-econometrics working paper; No. 13). UvA. [details]
- Boswijk, H. P., & Franses, P. H. (2002). The econometrics of the bass diffusion model. (UvA-econometrics working paper; No. 12). UvA. [details]
- Smith, R. J. H., & Boswijk, H. P. (2002). Finite sample and asymptotic methods in econometrics. Journal of Econometrics, 111, 135-140. https://doi.org/10.1016/S0304-4076(02)00101-X [details]
2001
- Boswijk, H. P. (2001). Block local to unity and continuous record asymptotics. (Tinbergen Institute discussion paper; No. TI 01-078/4). Tinbergen Institute. [details]
- Boswijk, H. P. (2001). Testing for a unit root with near-integrated volatility. (Tinbergen Institute discussion paper; No. TI 01-077/4). Tinbergen Institute. [details]
- Boswijk, H. P. (2001). Volatility Mean Reversion and the Market Price of Volatility Risk. In Proceedings of the International Conference on Modelling and Forecasting Financial Volatility The University of Western Australia. http://www1.fee.uva.nl/pp/bin/24fulltext.pdf [details]
2000
- Boswijk, H. P. (2000). Trend en Volatiliteit in de Econometrie. Amsterdam: Vossiuspers AUP. [details]
1999
- Boswijk, H. P., & Doornik, J. A. (1999). Distribution approximations for cointegration tests with stationary exogenous regressors. (Tinbergen Institute discussion paper; No. TI 99-013/4). Tinbergen Institute. [details]
- Boswijk, H. P., Lucas, A., & Taylor, N. (1999). A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests. (Tinbergen Institute discussion paper; No. TI 99-012/4). Tinbergen Institute. [details]
1998
- Boswijk, H. P. (1998). Review of "Elements of Modern Asymptotic Theory with Statistical Applications" [Review of: B. McCabe, A. Tremayne (1993) Elements of Modern Asymptotic Theory with Statistical Applications]. Econometric Reviews, 17(3), 329-334. [details]
- Boswijk, H. P. (1998). Review of 'Elements of modern asymptotic theory with statistical applications' [Review of: B. McCabe, A. Tremayne. Elements of modern asymptotic theory with statistical applications]. Econometric Reviews, 17, 329-334.
- Boswijk, H. P., Lucas, A., & Taylor, N. (1998). A Comparison of Parametric, Semi-nonparametric, Adaptive and Nonparametric Cointegration Tests. (Research Memorandum; No. 62). Amsterdam: Vrije Universiteit - FEWE. [details]
1997
- Boswijk, H. P., & Franses, P. H. (1997). Common persistence in nonlinear autoregressive models. (Tinbergen Institute discussion paper; No. TI 97-003/4). Amsterdam: Tinbergen Institute. [details]
1996
- Boswijk, H. P. (1996). Mixed normality and ancillarity in I(2) systems. (Tinbergen Institute discussion paper; No. TI 96-130/7). Amsterdam: Tinbergen Institute. [details]
- Boswijk, H. P., & Franses, P. H. (1996). Common persistence in nonlinear autoregressive models. (UCSD discussion paper; No. 96-10). Unknown Publisher. [details]
1995
- Boswijk, H. P. (1995). On likelihood ratios for partially identified models. In C. R. McKenzie (Ed.), Proceedings of the Osaka Econometrics conference (pp. 310-328). Osaka University. [details]
- Boswijk, H. P., & Urbain, J-P. (1995). Lagrange-multiplier tests for weak exogeneity : a synthesis. (Tinbergen Institute discussion paper; No. TI 94-100). Amsterdam: Tinbergen Institute. [details]
1994
- Boswijk, H. P. (1994). Testing stability and identifiability of long-run equilibria. (Tinbergen Institute discussion paper; No. TI 94-101). Amsterdam: Tinbergen Institute. [details]
- Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37-60. [details]
- Boswijk, H. P., & Franses, P. H. (1994). Unit roots in periodic autoregressions. (Tinbergen Institute discussion paper; No. TI 94-4). Amsterdam: Tinbergen Institute. [details]
- Boswijk, H. P., Neudecker, H., & Liu, S. (1994). A note on the asymptotics of a stochastic vector difference equation. (Note AE; No. N2/94). Amsterdam: UvA. [details]
1993
- Boswijk, H. P. (1993). Testing stability and identifiability of long-run equilibria. (Report AE; No. 5/93). Amsterdam: UvA. [details]
- Boswijk, H. P. (1993). On the formulation of Wald tests on long-run parameters. Oxford Bulletin of Economics and Statistics, 55, 137-144. [details]
- Boswijk, H. P., & Franses, P. H. (1993). Periodic cointegration - representation and inference. (Tinbergen Institute discussion paper; No. TI 93-220). Amsterdam: Tinbergen Institute. [details]
- Boswijk, H. P., & Franses, P. H. (1993). Een nieuwe visie op het modelleren van economische seizoentijdreeksen. Maandschrift Economie, 57, 233-237. [details]
- Franses, P. H., & Boswijk, H. P. (1993). Temporal aggregation in a periodically integrated autoregressive process. (Department of economics research memorandum; No. FEW 599). Tilburg: Tilburg University. [details]
1992
- Boswijk, H. P. (1992). Efficient inference on cointegration parameters in structural error correction models. (Report AE; No. 10/92). Amsterdam: UvA. [details]
- Boswijk, H. P. (1992). Testing for an unstable root in conditional and structural error correction models. (Report AE; No. 11/92). Amsterdam: UvA. [details]
- Boswijk, H. P., & Franses, P. H. (1992). Testing for periodic integration. (Economic Institute report; No. 9216A). Rotterdam: Erasmus University. [details]
- Boswijk, H. P., & Franses, P. H. (1992). Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 54, 369-381. https://doi.org/10.1111/j.1468-0084.1992.tb00007.x [details]
1991
- Boswijk, H. P. (1991). Dynamic specification and cointegration. (Report AE; No. 8/91). Amsterdam: UvA. [details]
- Boswijk, H. P. (1991). On the formulation of Wald tests on long-run parameters. (Report AE; No. 12/91). Amsterdam: UvA. [details]
- Boswijk, H. P. (1991). Testing for cointegration in structural models. (Report AE; No. 7/91). Amsterdam: UvA. [details]
- Boswijk, H. P. (1991). The LM-test for weak exogeneity in error correction models. (Report AE; No. 13/91). Amsterdam: UvA. [details]
- Boswijk, H. P. (1991). Estimation and testing in linear models with singular covariance matrices. Econometric Theory, 7, 159-162. [details]
- Boswijk, H. P. (1991). Optimal structural estimation of triangular systems: I. The stationary case. Econometric Theory, 7, 428-430. https://doi.org/10.1017/S0266466600004667 [details]
- Boswijk, H. P. (1991). Optimal structural estimation of triangular systems: II. The nonstationary case. Econometric Theory, 7, 556-558. [details]
- Boswijk, H. P., & Wit, J. (1991). The asymptotic powerfunction of unit root tests based on the Durbin-Watson statistic. (Report AE; No. 24/91). Amsterdam: UvA. [details]
1990
1989
2019
- Abbring, J., Boswijk, P., & van Soest, A. (2019). Nobelprijzen in de Econometrie. TPEdigitaal, 13(1), 3-12. https://www.tpedigitaal.nl/sites/default/files/bestand/nobelprijzen-in-de-econometrie_0.pdf [details]
2016
- Abbring, J., Boswijk, P., & Franses, P. H. (2016). Canon deel 23: econometrie. Economisch-Statistische Berichten, 101(4727), 106-111. http://www.economie.nl/artikel/canon-deel-23-econometrie [details]
2013
- Boswijk, H. P. (2013). Cointegration analysis of the dynamic Nelson-Siegel model using the wild bootstrap. Aenorm, 21(81), 30-34. http://www.aenorm.nl/editions/?edt=24&art=235 [details]
- Boswijk, P., & Hommes, C. (2013). Nobelprijs voor empirische analyse van financiële markten. Economisch-Statistische Berichten, 98(4672), 682-685. http://www.economie.nl/artikel/nobelprijs-voor-empirische-analyse-van-financi%C3%ABle-markten [details]
2008
2000
- Boswijk, H. P. (2000). Trend en volatiliteit in de econometrie. (Oratiereeks). Amsterdam: Vossiuspers AUP. [details]
2008
- Boswijk, H. P., Franses, P. H., & Heij, C. (2008). Voorspellen met Modellen. In Voorspellen met Modellen Utrecht: Epsilon Uitgaven.
1998
- Boswijk, H. P. (1998). Boekbespreking [Review of: B.B. Mandebrot (1998) Fractals in Scaling and Finance]. Natuur & Techniek, 66(5), 69-69.
2024
2022
2019
2016
2015
2012
- Gao, Z. (2012). Essays on empirical likelihood in economics. [Thesis, fully internal, Universiteit van Amsterdam]. Thela Thesis. [details]
- Stakėnas, P. (2012). Fractional integration and cointegration in financial time series. [Thesis, fully internal, Universiteit van Amsterdam]. Thela Thesis. [details]
- Zu, Y. (2012). Essays on nonparametric econometrics of stochastic volatility. [Thesis, fully internal, Universiteit van Amsterdam]. Thela Thesis. [details]
- van der Weide, R. (2012). The time-variation of volatility and the evolution of expectations. [Thesis, fully internal, Universiteit van Amsterdam]. University of Amsterdam. [details]
1992
- Boswijk, H. P. (1992). Cointegration, identification and exogeneity: inference in structural error correction models. Amsterdam: Thesis Publishers. [details]
2019
- Boswijk, H. P., & Zu, Y. (2019). Adaptive Testing for Cointegration with Nonstationary Volatility. (Tinbergen Institute Discussion Paper; No. TI 2019-043/III). Tinbergen Institute. https://www.tinbergen.nl/discussion-paper/5857/19-043-iii-adaptive-testing-for-cointegration-with-nonstationary-volatility [details]
- Boswijk, H. P., Cavaliere, G., Georgiev, I., & Rahbek, A. (2019). Bootstrapping Non-Stationary Stochastic Volatility. (Tinbergen Institute Discussion Paper; No. TI 2019-083/iii). Tinbergen Institute. https://www.tinbergen.nl/discussion-paper/5903/19-083-iii-bootstrapping-non-stationary-stochastic-volatility [details]
2016
- Boswijk, H. P., Bun, M. J. G., & Schinkel, M. P. (2016). Cartel Dating. (ACLE Working Paper Series; No. 2016-05). Amsterdam Center for Law & Economics, University of Amsterdam. https://doi.org/10.2139/ssrn.2860613 [details]
2013
- Boswijk, H. P., Cavaliere, G., Rahbek, A., & Taylor, A. M. R. (2013). Inference on co-integration parameters in heteroskedastic vector autoregressions. (Tinbergen Institute Discussion Papers; No. 2013-187/III). Tinbergen Institute. http://papers.tinbergen.nl/13187.pdf [details]
- van Garderen, K. J., & Boswijk, H. P. (2013). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. (UvA-Econometrics Discussion Paper; No. 2013-05). University of Amsterdam. http://aseri.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics-research-institute/uva-econometrics/dp-2013/1305.pdf [details]
2012
- Boswijk, H. P., Jansson, M., & Nielsen, M. Ø. (2012). Improved likelihood ratio tests for cointegration rank in the VAR model. (Tinbergen Institute Discussion Papers; No. TI 2012-097/III). Tinbergen Institute. http://www.tinbergen.nl/discussionpapers/12097.pdf [details]
2009
- Boswijk, H. P. (2009). Mixed normal inference on multicointegration. (UvA-Econometrics Discussion Paper; No. 2009/08). University of Amsterdam. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/8242276B4CE95A06C125767F00801829/$file/0908.pdf [details]
- Boswijk, H. P., & van der Weide, R. (2009). Method of moments estimation of GO-GARCH models. (UvA-Econometrics Discussion Paper; No. 2009/05). University of Amsterdam. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/FF853298F0D73952C125767F007D7CE8/$file/0905.pdf [details]
- Boswijk, H. P., Fok, D., & Franses, P. H. (2009). A new multivariate product growth model. (UvA-Econometrics Discussion Paper; No. 2009/07). University of Amsterdam. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/6F20AB110D41185FC125767F007F60FF/$file/0907.pdf [details]
- Boswijk, H. P., Franses, P. H., & van Dijk, D. (2009). Cointegration in a historical perspective. (UvA-Econometric Discussion Paper; No. 2009/06). University of Amsterdam. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/B39A81D870096C42C125767F007E2CD3/$file/0906.pdf [details]
2008
- Boswijk, H. P. (2008). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift. (UvA-Econometrics Discussion Papers; No. 2008/03). University of Amsterdam. http://www1.fee.uva.nl/pp/bin/927fulltext.pdf [details]
2007
- Boswijk, H. P., & Zu, Y. (2007). Testing for Cointegration with Nonstationary Volatility. (UvA - Econometrics Discussion Paper; No. 2007/06). University of Amsterdam. http://www1.feb.uva.nl/pp/bin/928fulltext.pdf [details]
2006
- Boswijk, H. P., & Klaassen, F. J. G. M. (2006). Why frequency matters for unit root testing. (Tinbergen Institute Discussion Paper; No. TI 2004-119/4). Tinbergen Institute. http://www.tinbergen.nl/discussionpapers/04119.pdf [details]
- Boswijk, H. P., & van der Weide, R. (2006). Wake me up before you GO-GARCH. (UvA Econometrics discussion paper; No. 2006/03). Universiteit van Amsterdam. http://www1.feb.uva.nl/pp/bin/381fulltext.pdf [details]
- Boswijk, H. P., Fok, D., & Franses, P. H. (2006). A new multivariate Poduct Growth Model. (Tinbergen Institute Discussion Paper; No. TI 2006-027/4). Amsterdam: Tinbergen Institute.
2005
- Boswijk, H. P. (2005). Adaptive testing for a unit root with nonstationary volatility. (UvA Econometrics discussion paper; No. 2005/07). Universiteit van Amsterdam. http://www1.fee.uva.nl/pp/bin/265fulltext.pdf [details]
- Boswijk, H. P., Hommes, C. H., & Manzan, S. (2005). Behavioral heterogeneity in stock prices. (CeNDEF working paper; No. 05-12). Universiteit van Amsterdam. http://www1.fee.uva.nl/cendef/upload/2/BHMAug2005.pdf
2003
- Boswijk, H. P., & Klaassen, F. (2003). Why frequency matters for unit root testing. (Quantitative Economics Discussion Paper; No. 2003/12). University of Amsterdam. http://www1.feb.uva.nl/pp/bin/264fulltext.pdf [details]
- Boswijk, H. P., & Wolthoff, R. P. (2003). Stabiliteit van cointegratierelaties: literatuursonderzoek en toepassing op een VEC-model voor de criminaliteit. (SEO-rapport; No. 686). Amsterdam: SEO. [details]
- van der Ploeg, A. P. C., Boswijk, H. P., & de Jong, F. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (Quantitative Economics Discussion Paper; No. 2003/13). University of Amsterdam. http://www1.feb.uva.nl/pp/bin/263fulltext.pdf [details]
2002
2001
- Boswijk, H. P. (2001). Block Local to Unity and Continuous Record Asymptotics. (Tinbergen Institute Discussion Paper; No. TI 2001-078/4). Tinbergen Institute. http://www.tinbergen.nl/discussionpapers/01078.pdf
- Boswijk, H. P. (2001). Testing for a Unit Root with Near-Integrated Volatility. (Tinbergen Institute Discussion Papers; No. TI 2001-077/4). Tinbergen Institute. http://www.tinbergen.nl/discussionpapers/01077.pdf [details]
- Boswijk, H. P., & Franses, P. H. (2001). Robust Inference on Average Economic Growth. (Econometric Institute Report; No. EI 2001-47). Erasmus University Rotterdam. http://www2.eur.nl/WebDOC/doc/econometrie/feweco20020115130413.pdf [details]
- Boswijk, P., Griffioen, G. A. W., & Hommes, C. (2001). Success and failure of technical trading strategies in the cocoa futures market. (Tinbergen Institute Discussion Paper; No. TI 2006-016/1). Tinbergen Institute. http://www1.feb.uva.nl/pp/bin/259fulltext.pdf [details]
2000
- Boswijk, H. P. (2000). Testing for a Unit Root with Near-Integrated Volatility. CeNDEF Working Paper.
- Boswijk, H. P., Griffioen, G. A. W., & Hommes, C. H. (2000). Succes and Failure of Technical Training Strategies in the Cocoa Futures Market. (CeNDEF Working Paper; No. 00-06). Universiteit van Amsterdam. http://www1.fee.uva.nl/cendef/publications/papers/BGH2001mod.pdf
- Boswijk, H. P., van Dijk, D. J., & Franses, P. H. B. F. (2000). Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models. (CeNDEF Working Paper; No. WP 00-10). Amsterdam: University of Amsterdam.
- van Dijk, D., Franses, P. H., & Boswijk, H. P. (2000). Asymmetric and common absorption of shocks in nonlinear autoregressive models. (Econometric Institute report; No. EI-2000-01/A). Erasmus University. [details]
1999
- Boswijk, H. P., & Doornik, J. A. (1999). Distribution approximations for cointegration tests with stationary exogenous regressors. (Tinbergen Institutte Discussion Paper; No. TI 1999-013/4). Tinbergen Institute. http://papers.tinbergen.nl/99013.pdf
1997
- Boswijk, H. P., & Franses, P. H. (1997). Common persistence in non-linear autoregressive models. (Tinbergen Institute Discussion Paper; No. TI 1997-003/4). Amsterdam: Tinbergen Institute.
1996
- Boswijk, H. P. (1996). Mixed normality and ancillarity in I(2) systems. (Tinbergen Institute Discussion Paper; No. TI 1996-130/7). Amsterdam: Tinbergen Institute. [details]
- Boswijk, H. P., & Franses, P. H. (1996). Common persistence in nonlinear autoregressive models. (UCSD Department of Economics Discussion Paper; No. 96-10). Sacramento: UCSD. [details]
1995
- Boswijk, H. P. (1995). Identifiability of cointegrated systems. (Tinbergen Institute discussion paper; No. TI 95-78). Tinbergen Institute. [details]
- Boswijk, H. P., Franses, P. H., & Haldrup, N. (1995). Multiple unit roots in periodic autoregressions. (Tinbergen Institute Discussion Paper; No. TI 1995-236). Amsterdam: Tinbergen Institute. [details]
2021
- Boswijk, H. . & Zu, Y. (2021). Adaptive Testing for Cointegration With Nonstationary Volatility. Taylor & Francis. https://doi.org/10.6084/m9.figshare.13611039
- Boswijk, H. . & Zu, Y. (2021). Adaptive Testing for Cointegration With Nonstationary Volatility. figshare Academic Research System. https://doi.org/10.6084/m9.figshare.13611039.v2
- Boswijk, H. . & Zu, Y. (2021). Adaptive Testing for Cointegration with Nonstationary Volatility. Taylor & Francis. https://doi.org/10.6084/m9.figshare.13611039.v1
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Boswijk, H. P., Cavaliere, G., De Angelis, L., & Taylor, A. M. R. (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42(9-10), 725-757.