Discussion Papers

16-082/III - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

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 06, France

Date: October 06, 2016

16-076/III - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Authors: Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: September 12, 2016

16-075/III - Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes

Authors: Aiste Ruseckaite, Erasmus University Rotterdam, the Netherlands; Dennis Fok, Erasmus University Rotterdam, the Netherlands; Peter Goos, KU Leuven, Belgium

Date: September 12, 2016

16-073/III - Forecasting Using Random Subspace Methods

Authors: Tom Boot, Erasmus University Rotterdam, the Netherlands; Didier Nibbering, Erasmus University Rotterdam, the Netherlands

Date: September 06, 2016

16-071/III - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: September 05, 2016

16-065/III - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan

Date: August 29, 2016

16-061/III - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Authors: Peter Reinhard Hansen, University of North Carolina at Chapel Hill, United States; Pawel Janus, UBS Global Asset Management, Zürich, Switzerland; Siem Jan Koopman, VU University Amsterdam, the Netherlands

Date: August 11, 2016

16-053/III - Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

Authors: 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; Jiarong Tian, National Tsing Hua University, Taiwan

Date: July 18, 2016

16-052/III - An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

Authors: 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; Chien-Hsun Wang, National Tsing Hua University, Taiwan

Date: July 18, 2016

16-047/III - Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Authors: 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; Yanghuiting Wang, National Tsing Hua University, Taiwan

Date: June 27, 2016

16-046/III - Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

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

Date: June 27, 2016

16-044/III - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Authors: Shelton Peiris, University of Sydney, Australia; Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: June 06, 2016

16-040/III - Management Science, Economics and Finance: A Connection

Authors: 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; Wing-Keung Wong, Hong Kong Baptist University, Hong Kong, PR China; Asia University, Taiwan

Date: May 23, 2016

16-038/III - A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Authors: David E. Allen, University of Sydney, and University of South Australia, Australia; Chialin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Australia

Date: May 17, 2016

16-031/III - A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan

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

Date: April 25, 2016

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