dhr. prof. dr. H.P. (Peter) Boswijk
-
Faculteit Economie en Bedrijfskunde
Sectie Econometrie & Statistiek
-
Valckenierstraat
65
1018 XE Amsterdam
Kamernummer: J/K 2.51
-
H.P.Boswijk@uva.nl
T: 0205254316
T: 0205254252
Positions
Professor of Financial Econometrics
Director of the
Amsterdam
School of Economics Research Institute
Fellow and member of the Board of
the Tinbergen Institute
Links
- UvA-Econometrics
- MSc Econometrics at the UvA
- Society for Financial Econometrics (SoFiE)
- CREATES
- Granger Centre for time series econometrics
Working papers
- Boswijk, H.P., G. Cavaliere, A. Rahbek and A.M.R. Taylor (2013), "Inference on co-integration parameters in heteroskedastic vector autoregressions," Tinbergen Institute Discussion Paper # 13-187/III.
- Boswijk, H.P. & Y. Zu (2007), "Testing for cointegration with nonstationary volatility," UvA-Econometrics Discussion Paper 2007/06.
- Boswijk, H.P. (2005), "Adaptive testing for a unit root with nonstationary volatility," UvA-Econometrics Discussion Paper 2005/07.
Recent publications
- Boswijk, H.P., M. Jansson and M.Ø. Nielsen (2015), "Improved likelihood
ratio tests for cointegration rank in the VAR model," Journal of
Econometrics, 184, 97–110.
http://dx.doi.org/10.1016/j.jeconom.2014.08.007 - Zu, Y. and H.P. Boswijk (2014), "Estimating spot volatility with
high-frequency data," Journal of Econometrics, 181, 117–135.
http://dx.doi.org/10.1016/j.jeconom.2014.04.001 - van Garderen, K.J. and H.P. Boswijk (2014), "Bias correcting adjustment
coefficients in a cointegrated VAR with known cointegrating
vectors," Economics Letters, 122, 224–228.
dx.doi.org/10.1016/j.econlet.2013.12.003 - Boswijk, H.P. and F. Klaassen (2012), "Why frequency matters for unit root
testing in financial time series," Journal of Business & Economic
Statistics, 30, 351–357.
dx.doi.org/10.1080/07350015.2011.648858 - Boswijk, H.P. and R. van der Weide (2011), "Method of moments estimation of
GO-GARCH models," Journal of Econometrics, 163, 118–126.
dx.doi.org/10.1016/j.jeconom.2010.11.011 - Boswijk, H.P. (2010), "Nuisance parameter free inference on cointegration
parameters in the presence of a variance shift," Economics Letters,
107, 190–193.
dx.doi.org/10.1016/j.econlet.2010.01.021 - Boswijk, H.P. (2010), "Mixed normal inference on multicointegration,"
Econometric Theory, 26, 1565–1576.
dx.doi.org/10.1017/S0266466610000095 - Boswijk, H.P., P.H. Franses and D. van Dijk (2010), "Twenty years of
cointegration (guest editorial)," Journal of Econometrics, 158, 1–2.
dx.doi.org/10.1016/j.jeconom.2010.03.001 - Boswijk, H.P., P.H. Franses and D. van Dijk (2010), " Cointegration in a
historical perspective," Journal of Econometrics, 158,156–159.
dx.doi.org/10.1016/j.jeconom.2010.03.025 - van Dijk, D., P.H. Franses and H.P. Boswijk (2007), "Absorption of shocks in
nonlinear autoregressive models," Computational Statistics & Data
Analysis, 51, 4206–4226.
dx.doi.org/10.1016/j.csda.2006.04.033 - Boswijk, H.P., C.H. Hommes and S. Manzan (2007), "Behavioral heterogeneity
in stock prices," Journal of Economic Dynamics and Control, 31,
1938–1970.
dx.doi.org/10.1016/j.jedc.2007.01.001
- refereed(40)
- wetenschappelijk(53)
- vakpublicatie(4)
- populair wetenschappelijk(2)
- working papers / preprints(31)
- Proefschrift(1)
2015
- H.P. Boswijk, M. Jansson & M.Ø. Nielsen (2015). Improved likelihood ratio tests for cointegration rank in the VAR model. Journal of Econometrics, 184 (1), 97-110. doi: 10.1016/j.jeconom.2014.08.007
2014
- K.J. van Garderen & H.P. Boswijk (2014). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. Economics Letters, 122 (2), 224-228. doi: 10.1016/j.econlet.2013.12.003[go to publisher's site]
- Y. Zu & H.P. Boswijk (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181 (2), 117-135. doi: 10.1016/j.jeconom.2014.04.001
2012
- H.P. Boswijk & F. Klaassen (2012). Why frequency matters for unit root testing in financial time series. Journal of Business & Economic Statistics, 30 (3), 351-357. doi: 10.1080/07350015.2011.648858
- P. Boswijk, G. Griffioen & C. Hommes (2012). Success and failure of technical analysis in the cocoa futures market. In C. Kyrtsou & C. Vorlow (Eds.), Progress in financial markets research (Financial institutions and services) (pp. 25-70). New York: Nova Science.
2011
- H.P. Boswijk & R. van der Weide (2011). Method of moments estimation of GO-GARCH models. Journal of Econometrics, 163 (1), 118-126. doi: 10.1016/j.jeconom.2010.11.011
2010
- H.P. Boswijk, P.H. Franses & D. van Dijk (2010). Cointegration in a historical perspective. Journal of Econometrics, 158 (1), 156-159. doi: 10.1016/j.jeconom.2010.03.025
- H.P. Boswijk, P.H. Franses & D. van Dijk (2010). Twenty years of cointegration. Journal of Econometrics, 158 (1), 1-2. doi: 10.1016/j.jeconom.2010.03.001
- H.P. Boswijk (2010). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift. Economics Letters, 107 (2), 190-193. doi: 10.1016/j.econlet.2010.01.021
- H.P. Boswijk (2010). Mixed normal inference on multicointegration. Econometric Theory, 26 (5), 1565-1576. doi: 10.1017/S0266466610000095[go to publisher's site]
2007
- H.P. Boswijk, C.H. Hommes & S. Manzan (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics & Control, 31 (6), 1938-1970.
- D. van Dijk, P.H. Franses & H.P. Boswijk (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics and Data Analysis, 51 (9), 4206-4226.
2006
- H.P. Boswijk & P.H. Franses (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68 (3), 345-370.
- L. Bauwens, H.P. Boswijk & J.P. Urbain (2006). Causality and exogeneity in econometrics (guest editorial). Journal of Econometrics, 132 (2), 305-309.
2005
- H.P. Boswijk & P.H. Franses (2005). On the econometrics of the Bass diffusion model. Journal of Business & Economic Statistics, 23 (3), 255-268.
- H.P. Boswijk & J.A. Doornik (2005). Distribution approximations for cointegration tests with stationary exogenous regressors. Journal of Applied Econometrics, 20 (6), 797-810.
2004
- H.P. Boswijk & J.A. Doornik (2004). Identifying, estimating and testing restricted cointegrated systems: An overview. Statistica Neerlandica, 58 (4), 440-465.
2002
- H.P. Boswijk & A. Lucas (2002). Semi-nonparametric cointegration testing. Journal of Econometrics, 108 (2), 253-280. doi: 10.1016/S0304-4076(01)00136-1
2001
- P.H.B.F. Franses, S. Srinivasan & H.P. Boswijk (2001). Testing for Unit Roots in Market Shares. Marketing Letters, 12 (4), 351-364. doi: 10.1023/A:1012276406686
2000
- H.P. Boswijk (2000). Mixed Normality and Ancillarity in I(2) Systems. Econometric Theory, 878-904.
- H.P. Boswijk, A. Lucas & N. Taylor (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 (Advances in econometrics, 14) (pp. 25-47). Stamford, CT: JAI Press.
1999
- H.P. Boswijk (1999). S-Ancillarity and Stong Exogeneity. In D.S.G. Pollock, A. Satorra & R.D.H. Heijmans (Eds.), Innovations in Multivariate Statistical Analysis. A Festschrift for Heinz Neudecker. Dordrecht: Kluwer Academic Publishers.
1997
- H.P. Boswijk & J.P. Urbain (1997). Lagrange-multiplier tests for weak exogeneity: a synthesis. Econometric Reviews, 16 (1), 21-38. doi: 10.1080/07474939708800370
- H.P. Boswijk & M. Lu (1997). Roots of an orthogonal matrix - solution. Econometric Theory, 13 (6), 894-895.
- H.P. Boswijk, P.H. Franses & N. Haldrup (1997). Multiple unit roots in periodic autoregression. Journal of Econometrics, 80 (1), 167-193.
1996
- P.H. Franses & H.P. Boswijk (1996). Temporal aggregation in a periodically integrated autoregressive process. Statistics & Probability Letters, 30 (3), 235-240.
- H.P. Boswijk (1996). Testing identifiablility of cointegrating vectors. Journal of Business & Economic Statistics, 14 (2), 153-160.
- H.P. Boswijk & P.H. Franses (1996). Unit roots in periodic autoregressions. Journal of Time Series Analysis, 17 (3), 221-245. doi: 10.1111/j.1467-9892.1996.tb00274.x
1995
- H.P. Boswijk & P.H. Franses (1995). Periodic cointegration: Representation and inference. Review of Economics and Statistics, LXXVII, 436-454.
- H.P. Boswijk & P.H. Franses (1995). Testing for periodic integration. Economics Letters, 48, 241-248.
- H.P. Boswijk (1995). Conditional and structural error correction models: Reply. Journal of Econometrics, 69 (1), 173-175.
- H.P. Boswijk (1995). Efficient inference on cointegration parameters in structural error correction models. Journal of Econometrics, 69 (1), 133-158.
1994
- H.P. Boswijk, H. Neudecker & S. Liu (1994). A Note on the Asymptotics of a Stochastic Vector Difference Equation. Biometrika, 81 (1), 216-218. doi: 10.1093/biomet/81.1.216
- H.P. Boswijk & H. Neudecker (1994). An inequality between perpendicular least-squares and ordinary least-squares. Econometric Theory, 10 (2), 441-442. doi: 10.1017/S0266466600008537
- H.P. Boswijk (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63 (1), 37-60. doi: 10.1016/0304-4076(93)01560-9
1993
- H.P. Boswijk (1993). On the formulation of Wald tests on long-run parameters. Oxford Bulletin of Economics and Statistics, 55 (1), 137-144. doi: 10.1111/j.1468-0084.1993.mp55001008.x
1992
- H.P. Boswijk & P.H. Franses (1992). Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 54 (3), 369-381. doi: 10.1111/j.1468-0084.1992.tb00007.x
1991
- H.P. Boswijk (1991). Optimal structural estimation of triangular systems: I. The stationary case. Econometric Theory, 7 (3), 428-431. doi: 10.1017/S0266466600004667
- P.C.B. Philips, J.J. Dolado & H.P. Boswijk (1991). Optimal structural estimation of triangular systems: II. The nonstationary case. Econometric Theory, 7 (4), 549-558. doi: 10.1017/S0266466600004837
1990
- H.P. Boswijk & H. Neudecker (1990). Property of a matrix used in multidimensional scaling. Econometric Theory, 6 (2), 285-285. doi: 10.1017/S0266466600005181
2007
- H.P. Boswijk (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
- H.P. Boswijk & J.A. Doornik (2003). Identifying, estimating and testing restricted cointegrated systems: An overview. (unknown, UvA-econometrics working paper, no 1). Amsterdam: UvA.
- H.P. Boswijk & F. Klaassen (2003). Why frequency matters for unit root testing. (unknown, UvA-econometrics working paper, no 12). Amsterdam: UvA.
- A.P.C. van der Ploeg, H.P. Boswijk & F. de Jong (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (unknown, UvA-econometrics working paper, no 13). Amsterdam: UvA.
2002
- H.P. Boswijk & A. Lucas (2002). Semi-nonparametric cointegration testing. Journal of Econometrics, 108, 253-280.
- H.P. Boswijk & P.H. Franses (2002). How large is average economic growth? : evidence from a robust method. (unknown, Tinbergen Institute discussion paper, no TI 02-002/4). Amsterdam: Tinbergen Institute.
- H.P. Boswijk & P.H. Franses (2002). The econometrics of the bass diffusion model. (unknown, UvA-econometrics working paper, no 12). Amsterdam: UvA.
- H.P. Boswijk & P.H. Franses (2002). Robust inference on average economic growth. (unknown, UvA-econometrics working paper, no 13). Amsterdam: UvA.
- R.J.H. Smith & H.P. Boswijk (2002). Finite sample and asymptotic methods in econometrics. Journal of Econometrics, 111, 135-140. doi: 10.1016/S0304-4076(02)00101-X
2001
- H.P. Boswijk (2001). Volatility Mean Reversion and the Market Price of Volatility Risk. In Proceedings of the International Conference on Modelling and Forecasting Financial Volatility. Perth: The University of Western Australia.
- H.P. Boswijk (2001). Testing for a unit root with near-integrated volatility. (unknown, Tinbergen Institute discussion paper, no TI 01-077/4). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (2001). Block local to unity and continuous record asymptotics. (unknown, Tinbergen Institute discussion paper, no TI 01-078/4). Amsterdam: Tinbergen Institute.
2000
- H.P. Boswijk (2000). Trend en Volatiliteit in de Econometrie. Amsterdam: Vossiuspers AUP.
- D. van Dijk, P.H. Franses & H.P. Boswijk (2000). Asymmetric and common absorption of shocks in nonlinear autoregressive models. (unknown, Econometric Institute report, no EI-2000-01/A). Rotterdam: Erasmus University.
- H.P. Boswijk (2000). Trend en volatiliteit in de econometrie. Amsterdam: Vossiuspers AUP.
1999
- H.P. Boswijk & J.A. Doornik (1999). Distribution approximations for cointegration tests with stationary exogenous regressors. (unknown, Tinbergen Institute discussion paper, no TI 99-013/4). Amsterdam: Tinbergen Institute.
- H.P. Boswijk, A. Lucas & N. Taylor (1999). A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests. (unknown, Tinbergen Institute discussion paper, no TI 99-012/4). Amsterdam: Tinbergen Institute.
1998
- H.P. Boswijk (1998). Review of 'Elements of modern asymptotic theory with statistical applications' [Review of the book Elements of modern asymptotic theory with statistical applications]. Econometric Reviews, 17, 329-334.
- H.P. Boswijk, A. Lucas & N. Taylor (1998). A Comparison of Parametric, Semi-nonparametric, Adaptive and Nonparametric Cointegration Tests. (extern rapport, Research Memorandum, no 62). Amsterdam: Vrije Universiteit - FEWE.
- H.P. Boswijk (1998). Review of "Elements of Modern Asymptotic Theory with Statistical Applications" [Review of the book Elements of Modern Asymptotic Theory with Statistical Applications]. Econometric Reviews, 17(3), 329-334.
1997
- H.P. Boswijk & P.H. Franses (1997). Common persistence in nonlinear autoregressive models. (unknown, Tinbergen Institute discussion paper, no TI 97-003/4). Amsterdam: Tinbergen Institute.
1996
- H.P. Boswijk & P.H. Franses (1996). Common persistence in nonlinear autoregressive models. (unknown, UCSD discussion paper, no 96-10). : .
- H.P. Boswijk (1996). Mixed normality and ancillarity in I(2) systems. (unknown, Tinbergen Institute discussion paper, no TI 96-130/7). Amsterdam: Tinbergen Institute.
1995
- H.P. Boswijk (1995). Identifiability of cointegrated systems. (unknown, Tinbergen Institute discussion paper, no TI 95-78). Amsterdam: Tinbergen Institute.
- H.P. Boswijk & J.-P. Urbain (1995). Lagrange-multiplier tests for weak exogeneity : a synthesis. (unknown, Tinbergen Institute discussion paper, no TI 94-100). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (1995). On likelihood ratios for partially identified models. In C.R. McKenzie (Ed.), Proceedings of the Osaka Econometrics conference (pp. 310-328). Osaka, Japan: Osaka University.
1994
- H.P. Boswijk & H. Neudecker (1994). An inequality between perpendicular least squares and ordinary least squares. Econometric Theory, 10, 441-442.
- H.P. Boswijk & P.H. Franses (1994). Unit roots in periodic autoregressions. (unknown, Tinbergen Institute discussion paper, no TI 94-4). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (1994). Testing stability and identifiability of long-run equilibria. (unknown, Tinbergen Institute discussion paper, no TI 94-101). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37-60.
- H.P. Boswijk, H. Neudecker & S. Liu (1994). A note on the asymptotics of a stochastic vector difference equation. (unknown, Note AE, no N2/94). Amsterdam: UvA.
- H.P. Boswijk, H. Neudecker & S. Liu (1994). A note on the asymptotics of a stochastic vector difference equation. Biometrika, 81, 216-218.
1993
- H.P. Boswijk (1993). On the formulation of Wald tests on long-run parameters. Oxford Bulletin of Economics and Statistics, 55, 137-144.
- H.P. Boswijk & P.H. Franses (1993). Periodic cointegration - representation and inference. (unknown, Tinbergen Institute discussion paper, no TI 93-220). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (1993). Testing stability and identifiability of long-run equilibria. (unknown, Report AE, no 5/93). Amsterdam: UvA.
- H.P. Boswijk & P.H. Franses (1993). Een nieuwe visie op het modelleren van economische seizoentijdreeksen. Maandschrift Economie, 57, 233-237.
- P.H. Franses & H.P. Boswijk (1993). Temporal aggregation in a periodically integrated autoregressive process. (unknown, Department of economics research memorandum, no FEW 599). Tilburg: Tilburg University.
1992
- H.P. Boswijk & P.H. Franses (1992). Testing for periodic integration. (unknown, Economic Institute report, no 9216A). Rotterdam: Erasmus University.
- H.P. Boswijk (1992). Efficient inference on cointegration parameters in structural error correction models. (unknown, Report AE, no 10/92). Amsterdam: UvA.
- H.P. Boswijk (1992). Testing for an unstable root in conditional and structural error correction models. (unknown, Report AE, no 11/92). Amsterdam: UvA.
- H.P. Boswijk & P.H. Franses (1992). Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 54, 369-381.
1991
- H.P. Boswijk (1991). Estimation and testing in linear models with singular covariance matrices. Econometric Theory, 7, 159-162.
- H.P. Boswijk (1991). Optimal structural estimation of triangular systems: II. The nonstationary case. Econometric Theory, 7, 556-558.
- H.P. Boswijk (1991). Optimal structural estimation of triangular systems: I. The stationary case. Econometric Theory, 7, 428-430.
- H.P. Boswijk (1991). On the formulation of Wald tests on long-run parameters. (unknown, Report AE, no 12/91). Amsterdam: UvA.
- H.P. Boswijk (1991). Dynamic specification and cointegration. (unknown, Report AE, no 8/91). Amsterdam: UvA.
- H.P. Boswijk (1991). Testing for cointegration in structural models. (unknown, Report AE, no 7/91). Amsterdam: UvA.
- H.P. Boswijk (1991). The LM-test for weak exogeneity in error correction models. (unknown, Report AE, no 13/91). Amsterdam: UvA.
- H.P. Boswijk & J. Wit (1991). The asymptotic powerfunction of unit root tests based on the Durbin-Watson statistic. (unknown, Report AE, no 24/91). Amsterdam: UvA.
1990
- H.P. Boswijk & H. Neudecker (1990). Property of a matrix used in multidimensional scaling. Econometric Theory, 6, 285-285.
- H.P. Boswijk (1990). On the scope of conditional dynamic modelling of cointegrated variables. Tinbergen Institute research bulletin, 2, 97-108.
1989
- H.P. Boswijk (1989). Estimation and testing for cointegration with trended variables : a comparison of a static and a dynamic regression procedure. (unknown, Report AE, no 12/89). Amsterdam: UvA.
1988
- G.C. de Jong, H.P. Boswijk & J.S. Cramer (1988). Joint prediction of automobile ownership and mileage by a cross-section model. (unknown, Report AE, no 2/88). Amsterdam: UvA.
2013
- P. Boswijk & C. Hommes (2013). Nobelprijs voor empirische analyse van financiële markten. Economisch-Statistische Berichten, 98 (4672), 682-685.
- H.P. Boswijk (2013). Cointegration analysis of the dynamic Nelson-Siegel model using the wild bootstrap. Aenorm, 21 (81), 30-34.
2008
- P. Boswijk (2008). Testing for a unit root in time series with changing volatility. Aenorm, 61, 14-19.
- H.P. Boswijk (2008). Econometrics volatility models: overview and recent developments. Fiducie, 15 (3), 20-25.
2008
- H.P. Boswijk, P.H. Franses & C. Heij (2008). Voorspellen met Modellen. In Voorspellen met Modellen. Utrecht: Epsilon Uitgaven.
1998
- H.P. Boswijk (1998). Boekbespreking [Review of the book Fractals in Scaling and Finance]. Natuur & Techniek, 66(5), 69-69.
2013
- H.P. Boswijk, G. Cavaliere, A. Rahbek & A.M.R. Taylor (2013). Inference on co-integration parameters in heteroskedastic vector autoregressions. (Preprints, Tinbergen Institute Discussion Papers, no 2013-187/III). Amsterdam/Rotterdam: Tinbergen Institute.
- K.J. van Garderen & H.P. Boswijk (2013). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. (Preprints, UvA-Econometrics Discussion Paper, no 2013-05). Amsterdam: University of Amsterdam.
2012
- H.P. Boswijk, M. Jansson & M.Ø. Nielsen (2012). Improved likelihood ratio tests for cointegration rank in the VAR model. (Preprints, Tinbergen Institute Discussion Papers, no TI 2012-097/III). Amsterdam: Tinbergen Institute.
2009
- H.P. Boswijk, P.H. Franses & D. van Dijk (2009). Cointegration in a historical perspective. (intern rapport, UvA-Econometric Discussion Paper, no 2009/06). Amsterdam: University of Amsterdam.[go to publisher's site]
- H.P. Boswijk, D. Fok & P.H. Franses (2009). A new multivariate product growth model. (intern rapport, UvA-Econometrics Discussion Paper, no 2009/07). Amsterdam: University of Amsterdam.[go to publisher's site]
- H.P. Boswijk & R. van der Weide (2009). Method of moments estimation of GO-GARCH models. (intern rapport, UvA-Econometrics Discussion Paper, no 2009/05). Amsterdam: University of Amsterdam.[go to publisher's site]
- H.P. Boswijk (2009). Mixed normal inference on multicointegration. (intern rapport, UvA-Econometrics Discussion Paper, no 2009/08). Amsterdam: University of Amsterdam.[go to publisher's site]
2008
- H.P. Boswijk (2008). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift. (intern rapport, UvA-Econometrics Discussion Papers, no 2008/03). Amsterdam: University of Amsterdam.[go to publisher's site]
2007
- H.P. Boswijk & Y. Zu (2007). Testing for Cointegration with Nonstationary Volatility. (intern rapport, UvA - Econometrics Discussion Paper, no 2007/06). Amsterdam: University of Amsterdam.[go to publisher's site]
2006
- H.P. Boswijk & R. van der Weide (2006). Wake me up before you GO-GARCH. (intern rapport, UvA Econometrics discussion paper, no 2006/03). Amsterdam: Universiteit van Amsterdam.[go to publisher's site]
- H.P. Boswijk & F.J.G.M. Klaassen (2006). Why frequency matters for unit root testing. (extern rapport, Tinbergen Institute Discussion Paper, no TI 2004-119/4). Amsterdam: Tinbergen Institute.[go to publisher's site]
- H.P. Boswijk, D. Fok & P.H. Franses (2006). A new multivariate Poduct Growth Model. (extern rapport, Tinbergen Institute Discussion Paper, no TI 2006-027/4). Amsterdam: Tinbergen Institute.
2005
- H.P. Boswijk (2005). Adaptive testing for a unit root with nonstationary volatility. (intern rapport, UvA Econometrics discussion paper, no 2005/07). Amsterdam: Universiteit van Amsterdam.[go to publisher's site]
- H.P. Boswijk, C.H. Hommes & S. Manzan (2005). Behavioral heterogeneity in stock prices. (Preprints, CeNDEF working paper, no 05-12). Amsterdam: Universiteit van Amsterdam.
2003
- A.P.C. van der Ploeg, H.P. Boswijk & F. de Jong (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (intern rapport, Quantitative Economics Discussion Paper, no 2003/13). Amsterdam: University of Amsterdam.[go to publisher's site]
- H.P. Boswijk & F. Klaassen (2003). Why frequency matters for unit root testing. (intern rapport, Quantitative Economics Discussion Paper, no 2003/12). Amsterdam: University of Amsterdam.[go to publisher's site]
- H.P. Boswijk & R.P. Wolthoff (2003). Stabiliteit van cointegratierelaties: literatuursonderzoek en toepassing op een VEC-model voor de criminaliteit. (extern rapport, SEO-rapport, no 686). Amsterdam: SEO.
2002
- H.P. Boswijk, M.H.C. Kok & M.J. van Leeuwen (2002). Naar een gecombineerd VEC-model voor jeugd-en volwassenencriminaliteit: verkenning en advies. (extern rapport, SEO-rapport, no 646). Amsterdam: SEO.
2001
- P. Boswijk, G.A.W. Griffioen & C. Hommes (2001). Success and failure of technical trading strategies in the cocoa futures market. (Preprints, Tinbergen Institute Discussion Paper, no TI 2006-016/1). Amsterdam: Tinbergen Institute.[go to publisher's site]
- H.P. Boswijk & P.H. Franses (2001). Robust Inference on Average Economic Growth. (extern rapport, Econometric Institute Report, no EI 2001-47 ). Rotterdan: Erasmus University Rotterdam.
- H.P. Boswijk (2001). Block Local to Unity and Continuous Record Asymptotics. (extern rapport, Tinbergen Institute Discussion Paper, no TI 2001-078/4). Amsterdam: Tinbergen Institute.[go to publisher's site]
- H.P. Boswijk (2001). Testing for a Unit Root with Near-Integrated Volatility. (extern rapport, Tinbergen Institute Discussion Papers, no TI 2001-077/4). Amsterdam: Tinbergen Institute.[go to publisher's site]
2000
- H.P. Boswijk, G.A.W. Griffioen & C.H. Hommes (2000). Succes and Failure of Technical Training Strategies in the Cocoa Futures Market. (intern rapport, CeNDEF Working Paper, no 00-06). Amsterdam: Universiteit van Amsterdam.
- H.P. Boswijk (2000). Testing for a Unit Root with Near-Integrated Volatility. (Preprints, no WP 00-09). : CeNDEF Working Paper.
- H.P. Boswijk, D.J. van Dijk & P.H.B.F. Franses (2000). Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models. (intern rapport, CeNDEF Working Paper, no WP 00-10). Amsterdam: University of Amsterdam.
1999
- H.P. Boswijk & J.A. Doornik (1999). Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors. (extern rapport, Tinbergen Institutte Discussion Paper, no TI 1999-013/4). Amsterdam: Tinbergen Institute.
1997
- H.P. Boswijk & P.H. Franses (1997). Common persistence in non-linear autoregressive models. (extern rapport, Tinbergen Institute Discussion Paper, no TI 1997-003/4). Amsterdam: Tinbergen Institute.
1996
- H.P. Boswijk (1996). Mixed normality and ancillarity in I(2) systems. (extern rapport, Tinbergen Institute Discussion Paper, no TI 1996-130/7). Amsterdam: Tinbergen Institute.
- H.P. Boswijk & P.H. Franses (1996). Common persistence in nonlinear autoregressive models. (extern rapport, UCSD Department of Economics Discussion Paper, no 96-10). Sacramento: UCSD.
1995
- H.P. Boswijk, P.H. Franses & N. Haldrup (1995). Multiple unit roots in periodic autoregressions. (intern rapport, Tinbergen Institute Discussion Paper, no TI 1995-236). Amsterdam: Tinbergen Institute.
- H.P. Boswijk (1995). Indentifiability of cointegrated systems. (intern rapport, Tinbergen Institute Discussion Paper, no TI 1995-078). Amsterdam: Tinbergen Institute.[go to publisher's site]
1992
- H.P. Boswijk (1992, November 24). Cointegration, identification and exogeneity: inference in structural error correction models. Universiteit van Amsterdam (166 pag.) (Amsterdam: Thesis Publishers). Supervisor(s): prof.dr. J.F. Kiviet.
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