377 Discussion Papers

• 16-029/III - Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

  Authors: Gabriele Galati, De Nederlandsche Bank DNB, the Netherlands; Irma Hindrayanto, De Nederlandsche Bank DNB, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Marente Vlekke, Centraal Planbureau CPB, The Hague, the Netherlands

  Date: April 22, 2016

• 16-028/III - Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

  Authors: Istvan Barra, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit, the Netherlands; Agnieszka Borowska, Vrije Universiteit, the Netherlands

  Date: April 22, 2016

• 16-027/III - Prediction of Gas Concentration based on the Opposite Degree Algorithm

  Authors: Xiao-Guang Yue, Wuhan University, China; Rui Gao, Wuhan University, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: April 19, 2016

• 16-026/III - An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series

  Authors: David E. Allen, Centre for Applied Financial Studies, UniSA, South Africa, and Visiting Professor University of Sydney, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: April 19, 2016

• 16-025/III - Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

  Authors: Zhidong Bai, Northeast Normal University, China; Hua Li, Chang Chun University, China; Michael McAleer, National Tsing Hua University, Hsinchu, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, China, and Research Grants Council of Hong Kong, Hong Kong

  Date: April 11, 2016

• 16-015/III - Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

  Authors: Jinghui Chen, Yokohama University, Japan; Masahito Kobayashi, Yokohama University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: March 08, 2016

• 16-014/III - Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yu-Ann Wang, National Chung Hsing University, Taichung, Taiwan

  Date: March 07, 2016

• 16-010/III - Connecting VIX and Stock Index ETF

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Tai-Lin Hsieh, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain.

  Date: February 15, 2016

• 16-006/III - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?

  Authors: Massimiliano Caporin, University of Padova, Italy; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain.

  Date: February 01, 2016

• 16-005/III - Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

  Authors: Nalan Basturk, Maastricht University, the Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, the Netherlands; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands

  Date: January 22, 2016

• 16-003/III - A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

  Authors: Xu Guo, Nanjing University of Aeronautics and Astronautics; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, Hong Kong, PR China; Lixing Zhu, Hong Kong Baptist University, Hong Kong, PR China

  Date: January 15, 2016

• 15-140/III - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

  Authors: Erik Kole, Erasmus University Rotterdam, the Netherlands; Thijs Markwat, Robeco Asset Management, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: January 04, 2015

• 15-138/III - Generalized Autoregressive Method of Moments

  Authors: Drew Creal, The University of Chicago Booth School of Business, United States; Siem Jan Koopman, VU University Amsterdam, the Netherlands; ; Marcin Zamojski, VU University Amsterdam, the Netherlands

  Date: December 24, 2015

• 15-133/III - Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, USA; Michel McAleer, National TsingHua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain

  Date: December 15, 2015

• 15-132/III - Tail Distribution of the Maximum of Correlated Gaussian Random Variables

  Authors: Zdravko Botev, The University of New South Wales, Sydney, Australia; Michel Mandjes, University of Amsterdam, the Netherlands; Ad Ridder, VU University Amsterdam, the Netherlands

  Date: December 15, 2015

• 15-131/III - A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”

  Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands, University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands, Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark, Sorbonne Universités, UPMC University Paris, Sorbonne Universities, France

  Date: December 11, 2015

• 15-129/III - The Fundamental Equation in Tourism Finance

  Author: Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: November 23, 2015

• 15-125/III - Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

  Authors: David E. Allen, The University of Sydney, The University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Shelton Peiris, The University of Sydney, Australia; Abhay K. Singh, Edith Cowan University, Australia

  Date: November 06, 2015

• 15-122/III - Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

  Authors: David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Robert J. Powell, Edith Cowan University, Australia; Abbay K. Singh, Edith Cowan University, Australia

  Date: November 02, 2015

• 15-119/III - From Disorder to Order

  Authors: Xiao-Guang Yue, Wuhan University Wuhan, China; Yong Cao, Southwest Forestry University Kunming, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Italy

  Date: October 26, 2015