Details about Janneke van Brummelen

Access statistics for papers by Janneke van Brummelen.

Last updated 2025-02-09. Update your information in the RePEc Author Service.

Short-id: pva1022

Working Papers

2024

1. A robust Beveridge-Nelson decomposition using a score-driven approach with an application
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   See also Journal Article A robust Beveridge–Nelson decomposition using a score-driven approach with an application, Economics Letters, Elsevier (2024) View citations (1) (2024)
2. Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
   Tinbergen Institute Discussion Papers, Tinbergen Institute

Journal Articles

2024

1. A robust Beveridge–Nelson decomposition using a score-driven approach with an application
   Economics Letters, 2024, 236, (C) View citations (1)
   See also Working Paper A robust Beveridge-Nelson decomposition using a score-driven approach with an application, Tinbergen Institute Discussion Papers (2024) View citations (1) (2024)
2. Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
   Journal of Econometrics, 2024, 238, (1) View citations (4)

2022

3. Maximum likelihood estimation for score-driven models
   Journal of Econometrics, 2022, 227, (2), 325-346 View citations (24)