Research - P.J. Mauricio Rodrigues - Maastricht University

P.J. Mauricio Rodrigues

Research profile

Please consult my personal homepage http://pjmrodrigues.com/

Publications

Most recent publications:

Kaeck, A., Rodrigues, P., & Seeger, N. J. (2018). Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. Journal of Economic Dynamics & Control, 90, 1-29. DOI: 10.1016/j.jedc.2018.01.040

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Branger, N., Rodrigues, P., & Schlag, C. (2018). Level and slope of volatility smiles in long-run risk models. Journal of Economic Dynamics & Control, 86, 95-122. DOI: 10.1016/j.jedc.2017.10.007

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Kurz, M., Rodrigues, P., & Quaedvlieg, R. (2017). Dense Betas. Paper presented at German Finance Association (DGF) Annual Meeting, Ulm, Germany.

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Kaeck, A., Rodrigues, P., & Seeger, N. J. (2017). Equity index variance: Evidence from flexible parametric jump-diffusion models. Journal of Banking & Finance, 83, 85-103. DOI: 10.1016/j.jbankfin.2017.06.010

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Branger, N., Rodrigues, P., & Schlag, C. (2016). Level and Slope of Volatility Smiles in Long-Run Risk Models.

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Chegut, A. M., Eichholtz, P. M. A., & Rodrigues, P. J. (2015). Spatial dependence in international office markets. Journal of Real Estate Finance and Economics, 51(2), 317-350. DOI: 10.1007/s11146-014-9484-x

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Ignatieva, K., Rodrigues, P. J., & Seeger, N. (2015). Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices. Journal of Business & Economic Statistics, 33(1), 68-75. DOI: 10.1080/07350015.2014.922471

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Chegut, A. M., Eichholtz, P. M. A., & Rodrigues, P. J. (2013). The London commercial property price index. Journal of Real Estate Finance and Economics, 47(4), 588-616. DOI: 10.1007/s11146-013-9429-9

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Other publications:

Reinhard Hujer, Paulo J.M. Rodrigues, Katja Wolf, (2008) "Dynamic Panel Data Models with Spatial Correlation”, Journal of Economics and Statistics, Vol. 228 Iss: 5+6, pp. 612 - 629

Reinhard Hujer, Paulo J.M. Rodrigues, Katja Wolf, (2009) "Estimating the macroeconomic effects of active labour market policies using spatial econometric methods", International Journal of Manpower, Vol. 30 Iss: 7, pp. 648 - 671

Andrea M. Chegut, Piet M. A. Eichholtz, Paulo Rodrigues, (2013) "The London Commercial Property Price Index”, The Journal of Real Estate Finance and Economics, Vol. 47, Iss: 4, pp. 588-616

Andrea M. Chegut, Piet M. A. Eichholtz, Paulo Rodrigues, (2014) "Spatial Dependence in International Office Markets”, The Journal of Real Estate Finance and Economics, forthcoming