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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2,381

SSRN CITATIONS
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Top 6,108

in Total Papers Citations

76

CROSSREF CITATIONS

174

Scholarly Papers (15)

1.
Downloads 568 (78,239)
Citation 98

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, Government of Canada - Bank of Canada and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 331 (146,149)
Citation 3

Abstract:

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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, Government of Canada - Bank of Canada and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 237 (206,248)
Citation 18

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Asset pricing, behavioral finance, bounded rationality

2.

The Econometrics of the Bass Diffusion Model

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 564 (78,946)
Citation 6

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Bass diffusion model, representation, estimation

3.
Downloads 481 (96,073)
Citation 9

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 408 (115,498)
Citation 5

Abstract:

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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 73 (515,398)
Citation 1

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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, D. Fok and Philip Hans Franses
Amsterdam School of Economics, Econometric Institute - Erasmus University RotterdamErasmus Research Institute of Management (ERIM) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 183 (262,762)
Citation 3

Abstract:

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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 142 (325,174)
Citation 2

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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 131 (346,210)

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Growth, Unit root, Robust testing

7.

Jump Contagion among Stock Market Indices: Evidence from Option Markets

tinbergen Institute Discussion Paper 2021-086/III
Number of pages: 66 Posted: 28 Sep 2021 Last Revised: 02 Feb 2022
Amsterdam School of Economics, University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam - Amsterdam School of Economics (ASE)Tinbergen Institute
Downloads 85 (466,126)

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Jumps, Option markets, Crisis, Transmission, Spatio-temporal models, C-GMM

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 - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 50 (625,557)
Citation 1

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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 - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 34 (728,212)
Citation 7

Abstract:

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

9.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
Downloads 43 (651,879)
Citation 2

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Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution

10.

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 Aarhus University - Department of Economics and Business Economics
Downloads 38 (682,248)
Citation 3

Abstract:

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Cointegration rank, efficiency, likelihood ratio test, vector autoregression

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
Downloads 33 (715,280)
Citation 2

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Adaptive estimation, Nonparametric volatility estimation, Wild bootstrap

12.

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 29 (743,925)

Abstract:

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Cointegration, Vector autoregression, Bias correction

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 Government of Canada - Bank of Canada

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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
Amsterdam School of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and CREATESAarhus University, School of Economics and Management

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