Janneke van Brummelen : Citation Profile

Vrije Universiteit Amsterdam

2

H index

1

i10 index

53

Citations

RESEARCH PRODUCTION:

3

Articles

1

Papers

RESEARCH ACTIVITY:

   2 years (2022 - 2024). See details.
   Cites by year: 26
   Journals where Janneke van Brummelen has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 3 (5.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva1022
   Updated: 2025-03-08    RAS profile: 2025-01-08    
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Relations with other researchers

Works with:

Koopman, Siem Jan (4)

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 (15)

Lucas, Andre (15)

Blasques, Francisco (13)

Harvey, Andrew (5)

Catania, Leopoldo (5)

Blazsek, Szabolcs (4)

Lange, Rutger-Jan (4)

Wintenberger, Olivier (3)

Schaumburg, Julia (3)

Escribano, Alvaro (3)

Schwaab, Bernd (2)

Cites to:

Harvey, Andrew (16)

Lucas, Andre (15)

Koopman, Siem Jan (14)

Creal, Drew (8)

Caivano, Michele (7)

Davis, Steven (5)

bloom, nicholas (5)

Baker, Scott (5)

Wintenberger, Olivier (4)

Blasques, Francisco (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 (2025 and 2024)

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

Full description at Econpapers || Download paper

2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

Full description at Econpapers || Download paper

2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Melosi, Leonardo ; Petrella, Ivan ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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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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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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2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). Koopman, Siem Jan ; Gorgi, Paolo ; van Brummelen, Janneke ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062.

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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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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]		article1
2024A robust Beveridge-Nelson decomposition using a score-driven approach with an application.(2024) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Maximum likelihood estimation for score-driven models In: Journal of Econometrics.
[Full Text][Citation analysis]		article50
2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team