H. Peter Boswijk

Amsterdam School of Economics

Roetersstraat 11

Amsterdam, North Holland 1018 WB

Netherlands

http://www.uva.nl/profile/h.p.boswijk

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

1.

The Econometrics of the Bass Diffusion Model

ERIM Report Series Reference No. ERS-2002-66-MKT
Number of pages: 42 Posted: 17 Feb 2003
H. Peter Boswijk and Philip Hans Franses
Amsterdam School of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 523 (51,383)

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Bass diffusion model, representation, estimation

2.
Downloads 494 ( 55,209)

Behavioral Heterogeneity in Stock Prices

Journal of Economic Dynamics and Control, Vol. 31, 2007
Number of pages: 40 Posted: 04 Feb 2009
H. Peter Boswijk, Cars H. Hommes and Sebastiano Manzan
Amsterdam School of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 289 (102,654)

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heterogeneous expectations, stock prices, bubbles, bounded rationality

Behavioral Heterogeneity in Stock Prices

Tinbergen Discussion Paper No. TI 05-05/21
Number of pages: 37 Posted: 03 Mar 2005
H. Peter Boswijk, Cars H. Hommes and S. Manzan
Amsterdam School of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 205 (145,626)

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Asset pricing, behavioral finance, bounded rationality

3.
Downloads 339 ( 86,656)

Cartel Dating

Forthcoming in the Journal of Applied Econometrics, Amsterdam Law School Research Paper No. 2016-62, Amsterdam Center for Law & Economics Working Paper No. 2016-05
Number of pages: 61 Posted: 01 Nov 2016 Last Revised: 03 Aug 2018
Amsterdam School of Economics, University of Amsterdam (UVA) - Department of Quantitative Economics and University of Amsterdam - Department of Economics
Downloads 288 (103,023)

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Cartel, antitrust damages, dates, structural change, break test, but-for

Cartel Dating

Tinbergen Institute Discussion Paper 16-092/VII
Number of pages: 58 Posted: 01 Nov 2016
Amsterdam School of Economics, University of Amsterdam (UVA) - Department of Quantitative Economics and University of Amsterdam - Department of Economics
Downloads 51 (384,642)

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Cartel, antitrust damages, dates, structural change, break test, but-for

4.

A New Multivariate Product Growth Model

Tinbergen Institute Discussion Paper No. 06-027/4
Number of pages: 25 Posted: 27 Mar 2006
H. Peter Boswijk, D. Fok and Philip Hans Franses
Amsterdam School of Economics, Econometric Institute - Erasmus University Rotterdam and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 157 (185,030)

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Diffusion, international marketing, econometric models

5.

Why Frequency Matters for Unit Root Testing

Tinbergen Institute Discussion Paper No. TI 2004-119/4
Number of pages: 17 Posted: 12 Nov 2004
H. Peter Boswijk and Franc Klaassen
Amsterdam School of Economics and University of Amsterdam - Research Institute in Economics & Econometrics (RESAM)
Downloads 122 (226,333)

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Fat tails, GARCH, mean reversion, observation frequency, purchasing-power parity, unit roots

6.

How Large is Average Economic Growth?

Tinbergen Inst. Discussion Paper No. TI 02-002/4
Number of pages: 20 Posted: 29 Jan 2002
H. Peter Boswijk and Philip Hans Franses
Amsterdam School of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 113 (239,505)

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Growth, Unit root, Robust testing

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
Amsterdam School of Economics, University of Bologna, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 31 (466,077)

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
Amsterdam School of Economics, University of Bologna, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 14 (568,621)

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

8.

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

Tinbergen Institute Discussion Paper 12-097/III
Number of pages: 23 Posted: 22 Sep 2012
Amsterdam School of Economics, University of California, Berkeley - Department of Economics and Queen's University - Department of Economics
Downloads 20 (512,488)

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Cointegration rank, efficiency, likelihood ratio test, vector autoregression

9.

Robust Inference on Average Economic Growth

Oxford Bulletin of Economics and Statistics, Vol. 68, No. 3, pp. 345-370, June 2006
Number of pages: 26 Posted: 19 May 2006
H. Peter Boswijk and Philip Hans Franses
Amsterdam School of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 16 (535,509)
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10.

Bias Correcting Adjustment Coefficients in a Cointegrated VAR with Known Cointegrating Vectors

UvA-Econometrics Discussion Paper 2013/05
Number of pages: 9 Posted: 28 Nov 2013
Kees Jan van Garderen and H. Peter Boswijk
University of Amsterdam - Department of Quantitative Economics (KE) and Amsterdam School of Economics
Downloads 14 (547,257)

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Cointegration, Vector autoregression, Bias correction

11.

Adaptive Testing for Cointegration with Nonstationary Volatility

Tinbergen Institute Discussion Paper 2019-043/III
Number of pages: 37 Posted: 26 Jun 2019
H. Peter Boswijk and Yang Zu
Amsterdam School of Economics and University of Nottingham - School of Economics
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Adaptive estimation, Nonparametric volatility estimation, Wild bootstrap

12.

Adaptive Wild Bootstrap Tests for a Unit Root with Non‐Stationary Volatility

The Econometrics Journal, Vol. 21, Issue 2, pp. 87-113, 2018
Number of pages: 27 Posted: 02 Jul 2018
H. Peter Boswijk and Yang Zu
Amsterdam School of Economics and University of Nottingham - School of Economics
Downloads 1 (639,245)
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Adaptive testing, Non‐parametric estimation, Power envelope, Unit root, Wild bootstrap

13.

Wake Me Up Before You Go-Garch

Tinbergen Institute Discussion Paper No. 06-079/4
Posted: 22 Sep 2006
H. Peter Boswijk and Roy van der Weide
Amsterdam School of Economics and World Bank

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Multivariate GARCH; Non-Linear Least-Squares; Maximum Likelihood

14.

Success and Failure of Technical Analysis in the Cocoa Futures Market

Posted: 20 Jun 2005
H. Peter Boswijk, Gerwin A. W. Griffioen and Cars H. Hommes
Amsterdam School of Economics, University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Amsterdam School of Economics (ASE)

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technical analysis, parametric bootstrap techniques, commodity futures, exchange rate

15.

Multiple Unit Roots in Periodic Autoregression

Working Paper 1996-2
Posted: 07 Jul 1998
H. Peter Boswijk, Philip Hans Franses and Niels Haldrup
Amsterdam School of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Aarhus University, School of Economics and Management

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