Discussion Papers

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

15-118/III - Exploiting Spillovers to forecast Crashes

Authors: Francine Gresnigt, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

Date: October 23, 2015

15-111/III - Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode

Authors: Monica Billio, University Ca’ Foscari of Venice; Italy; Roberto Casarin, University Ca’ Foscari of Venice; Italy; Francesco Ravazzolo, BI Norwegian Business School, and Norges Bank, Norway; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

Date: September 15, 2015

15-106/III - Estimating Structural Parameters in Regression Models with Adaptive Learning

Authors: Norbert Christopeit, University of Bonn, Germany; Michael Massmann, VU University Amsterdam, the Netherlands

Date: September 02, 2015

15-102/III - Assigning Multiple Job Types to Parallel Specialized Servers

Author: Dinard van der Laan, VU University Amsterdam, the Netherlands

Date: August 24, 2015

15-098/III - Industrial Agglomeration and Use of the Internet

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-Chieh Wu, National Chung Hsing University, Taichung, Taiwan

Date: August 17, 2015

15-095/III - What Do Professional Forecasters Actually Predict?

Authors: Didier Nibbering, Erasmus University Rotterdam, the Netherlands; Richard Paap, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands

Date: August 07, 2015

15-090/III - Daily Market News Sentiment and Stock Prices

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

Date: July 28, 2015

15-089/III - Multivariate Volatility Impulse Response Analysis of GFC News Events

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

Date: July 27, 2015

15-086/III - Specification Testing in Hawkes Models

Authors: Francine Gresnigt, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

Date: July 24, 2015

15-084/III - Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Kent, United Kingdom; Francesco Ravazzolo, Norges Bank, Norway; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands

Date: March 24, 2016

15-083/III - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Katarzyna Lasak, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

Date: July 09, 2015

15-082/III - Why do Pit-Hours outlive the Pit?

Authors: Sait R. Ozturk, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

Date: July 07, 2015

15-077/III - Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Yiying Li, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain

Date: July 06, 2015

15-070/III - The Information in Systemic Risk Rankings

Authors: Federico Nucera, Luiss Guido Carli University, Rome, Italy; Bernd Schwaab, European Central Bank, Frankfurt, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

Date: June 01, 2015

15-069/III - Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Johannes Tang Kristensen, University of Southern Denmark, Denmark