Discussion Papers

15-042/III - The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

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

Date: March 30, 2015

15-040/III - Testing for Stock Market Contagion: A Quantile Regression Approach

Authors: Sungyong Park, Chung-Ang University, Seoul, Korea; Wendun Wang, Erasmus University Rotterdam, the Netherlands; Naijing Huang, Boston College, United States

Date: March 26, 2015

15-037/III - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

Authors: Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

Date: March 19, 2015

15-032/III - How Informative are the Unpredictable Components of Earnings Forecasts?

Authors: Bert de Bruijn, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

Date: March 06, 2015

15-029/III - Global Credit Risk: World, Country and Industry Factors

Authors: Bernd Schwaab, European Central Bank, Financial Research, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

Date: February 26, 2015

15-027/III - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

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

Date: February 23, 2015

15-026/III - Frontiers in Time Series and Financial Econometrics: An Overview

Authors: Shiqing Ling, Hong Kong University of Science and Technology, Hong Kong, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrid, Spain; Howell Tong, London School of Economics, United Kingdom

Date: February 20, 2015

15-022/III - On the Invertibility of EGARCH(p,q)

Authors: Guillaume Gaetan Martinet, Paris Tech, France, Columbia University, USA; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain.

Date: February 12, 2015

15-019/III - Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models

Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Mehmet Caner, North Carolina State University, United States; Anders Bredahl Kock, Aarhus University, Denmark; Juan Andres Riquelme, North Carolina State University, United States

Date: February 10, 2015

15-018/III - The Impact of Jumps and Leverage in Forecasting Co-Volatility

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

Date: February 09, 2015

15-009/III - Penalized Indirect Inference

Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Artem Duplinskiy, VU University Amsterdam, the Netherlands

Date: January 19, 2015

15-005/III - Quality Weighted Citations versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting

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

Date: January 13, 2015

14-153/III - Econometric Analysis of Financial Derivatives: An Overview

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

Date: December 16, 2014

14-152/III - Combined Density Nowcasting in an Uncertain Economic Environment

Authors: Knut Are Aastveit, Norges Bank, Norway; Francesco Ravazzolo, Norges Bank, BI Norwegian Business School, Norway; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam, the Netherlands

Date: December 09, 2014

14-151/III - Hedge Fund Portfolio Diversification Strategies across the GFC

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

Date: December 08, 2014

14-147/III - Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Anders B. Kock, Aarhus University, Denmark; Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasil

Date: November 13, 2014

14-145/III - Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy

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

Date: November 07, 2014

14-135/III - Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities

Authors: Jacques J.F. Commandeur, VU University Amsterdam, the Netherlands; Suncica Vujic, University of Antwerp, Belgium; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Barbara Kasprzyk-Hordern, University of Bath, United Kingdom

Date: October 16, 2014

14-134/III - European Market Portfolio Diversification Strategies across the GFC

Authors: David E. Allen, University of Sydney, 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; Abhay K. Singh, Edith Cowan University, Australia