Details about Andréas Heinen

Access statistics for papers by Andréas Heinen.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: phe113

Working Papers

2015

1. Desperately Seeking Small Worlds in Corporate Boards:International Evidence from Listed Firms
   DEM Discussion Paper Series, Department of Economics at the University of Luxembourg
2. Firm Performance when Ownership is very Concentrated: Evidence from a Semiparametric Panel
   Post-Print, HAL View citations (12)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2015) View citations (14)
   See also Journal Article Firm performance when ownership is very concentrated: Evidence from a semiparametric panel, Journal of Empirical Finance, Elsevier (2015) View citations (15) (2015)
3. Regime switching House price dependence: Evidence from MSAs in the US
   ERES, European Real Estate Society (ERES)

2013

4. Competition, Loan Rates and Information Dispersion in Microcredit Markets
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
   Also in ESMT Research Working Papers, ESMT European School of Management and Technology (2012) View citations (13)

2011

5. Foreign exchange rates under Markov Regime switching model
   DEM Discussion Paper Series, Department of Economics at the University of Luxembourg View citations (4)
6. Ownership Structure and Firm Performance: Evidence from a non-parametric panel
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg

2009

7. Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (45)

2008

8. EXPLORING THE LINK BETWEEN LOCAL AND GLOBAL KNOWLEDGE SPILLOVERS: Evidence from Plant-Level Data
   DEM Discussion Paper Series, Department of Economics at the University of Luxembourg
9. Electricity, carbon and weather in France: where do we stand ?
   Working Papers, HAL View citations (4)
10. Modeling International Financial Returns with a Multivariate Regime Switching Copula
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2008) View citations (5)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2008) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2008) View citations (7)
    See also Journal Article Modeling International Financial Returns with a Multivariate Regime-switching Copula, Journal of Financial Econometrics, Oxford University Press (2009) View citations (149) (2009)

2007

11. EXPLORING THE LINK BETWEEN LOCAL AND GLOBAL KNOWLEDGE SPILLOVERS
    MPRA Paper, University Library of Munich, Germany View citations (14)

2006

12. Frequent Turbulence? A Dynamic Copula Approach
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)

2004

13. Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (1)
14. Multivariate reduced rank regression in non-Gaussian contexts, using copulas
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article Multivariate reduced rank regression in non-Gaussian contexts, using copulas, Computational Statistics & Data Analysis, Elsevier (2008) View citations (3) (2008)
15. Trading activity and liquidity supply in a pure limit order book market
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
16. Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model
    MPRA Paper, University Library of Munich, Germany View citations (3)

2003

17. Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model
    MPRA Paper, University Library of Munich, Germany View citations (59)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (69)
18. Multivariate modelling of time series count data: an autoregressive conditional Poisson model
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (60)
19. The response of individual FX dealers'quoting activity to macroeconomic news announcements
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

Journal Articles

2022

1. The Kendall and Spearman rank correlations of the bivariate skew normal distribution
   Scandinavian Journal of Statistics, 2022, 49, (4), 1669-1698

2021

2. Spatial Dependence in Subprime Mortgage Defaults
   The Journal of Real Estate Finance and Economics, 2021, 62, (1), 1-24 View citations (1)

2020

3. Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions
   Journal of Multivariate Analysis, 2020, 179, (C) View citations (4)

2019

4. The Price Impact of Extreme Weather in Developing Countries
   The Economic Journal, 2019, 129, (619), 1327-1342 View citations (42)

2018

5. Competition, Loan Rates, and Information Dispersion in Nonprofit and For‐Profit Microcredit Markets
   Journal of Money, Credit and Banking, 2018, 50, (5), 893-937 View citations (11)

2016

6. Does Basel II affect the market valuation of discretionary loan loss provisions?
   Journal of Banking & Finance, 2016, 70, (C), 177-192 View citations (17)

2015

7. Firm performance when ownership is very concentrated: Evidence from a semiparametric panel
   Journal of Empirical Finance, 2015, 34, (C), 172-194 View citations (15)
   See also Working Paper Firm Performance when Ownership is very Concentrated: Evidence from a Semiparametric Panel, Post-Print (2015) View citations (12) (2015)

2012

8. Comments on: Some recent theory for autoregressive count time series
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, 21, (3), 464-466
9. Exploring the Existence of Local and Global Knowledge Spillovers: Evidence from Plant-Level Data
   Scandinavian Journal of Economics, 2012, 114, (3), 856-880 View citations (4)

2010

10. Public news announcements and quoting activity in the Euro/Dollar foreign exchange market
    Computational Statistics & Data Analysis, 2010, 54, (11), 2419-2431 View citations (8)

2009

11. Is there any common knowledge news in the Euro/Dollar market?
    International Review of Economics & Finance, 2009, 18, (4), 656-670 View citations (2)
12. Modeling International Financial Returns with a Multivariate Regime-switching Copula
    Journal of Financial Econometrics, 2009, 7, (4), 437-480 View citations (149)
    See also Working Paper Modeling International Financial Returns with a Multivariate Regime Switching Copula, MPRA Paper (2008) View citations (5) (2008)

2008

13. Multivariate reduced rank regression in non-Gaussian contexts, using copulas
    Computational Statistics & Data Analysis, 2008, 52, (6), 2931-2944 View citations (3)
    See also Working Paper Multivariate reduced rank regression in non-Gaussian contexts, using copulas, LIDAM Discussion Papers CORE (2004) (2004)

2007

14. Multivariate autoregressive modeling of time series count data using copulas
    Journal of Empirical Finance, 2007, 14, (4), 564-583 View citations (48)

Chapters

2010

1. Dynamic D-Vine Model
   Chapter 16 in Dependence Modeling Vine Copula Handbook, 2010, pp 329-353 View citations (1)