Discussion Papers

13-197/III - The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

Authors: Kazumitsu Nawata, University of Tokyo, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

Date: December 12, 2013

13-191/III - Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam; S. Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam

Date: November 03, 2013

13-187/III - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

Authors: H. Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna, Italy; Anders Rahbek, University of Copenhagen, Denmark, and CREATES; A. M. Robert Taylor, University of Essex, United Kingdom

Date: November 19, 2013

13-173/III - Ranking Leading Econometrics Journals using Citations Data from ISI and RePEc

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: October 18, 2013

13-168/III

Authors: David Allen, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University Taiwan,A Capital Adequacy Buffer Model; G01, G21, G28, 13168.rdf

Date: October 15, 2013

13-155/III - A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

Authors: Charles S. Bos, VU University Amsterdam; Pawel Janus, VU University Amsterdam

Date: October 04, 2013

13-151/III - A Note on an Estimation Problem in Models with Adaptive Learning

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

Date: September 26, 2013

13-142/III - Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model

Authors: Monica Billio, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice, Italy; Roberto Casarin, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice, Italy; Francesco Ravazzolo, Norges Bank and BI Norwegian Business School, Norway; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam, The Netherlands

Date: September 16, 2013

13-132/III - Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Authors: Hooi Hooi Lean, Universiti Sains, Malaysia;; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; and Complutense University of Madrid, Spain

Date: September 05, 2013

13-128/III - Market Integration Dynamics and Asymptotic Price Convergence in Distribution

Authors: Alfredo García-Hiernaux, Complutense University of Madrid, Spain; David E. Guerrero, CUNEF Colegio Universitario de Estudios Financieros, Madrid, Spain; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain

Date: September 03, 2013

13-127/III - Semiparametric Cross Entropy for Rare-Event Simulation

Authors: Zdravko Botev, The University of New South Wales, Sydney, Australia; Ad Ridder, VU University Amsterdam; Leonardo Rojas-Nandayapa, The University of Queensland

Date: September 02, 2013

13-122/III - Sequential Monte Carlo for Counting Vertex Covers in General Graphs

Authors: Radislav Vaisman, Technion, Haifa, Israel; Zdravko Botev, University of New South Wales, Sidney, Australia; Ad Ridder, VU University Amsterdam

Date: August 26, 2013

13-121/III - Forecasting Earnings Forecasts

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

Date: August 22, 2013

13-118/III - The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, National Tsing Hua University, Hsinchu, Taiwan, Erasmus University Rotterdam, The Netherlands, and Complutense University of Madrid, Spain

Date: August 16, 2013

13-114/III - Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Authors: Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, National Tsing Hua University, Taiwan; Complutense University of Madrid, Spain

Date: August 12, 2013

13-113/III - Predicting Covariance Matrices with Financial Conditions Indexes

Authors: Anne Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

Date: August 09, 2013

13-111/III - Estimating Structural Parameters in Regression Models with Adaptive Learning

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

Date: August 06, 2013

13-098/III - International Technology Diffusion of Joint and Cross-border Patents

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain; Ju-Ting Tang, National Chung Hsing University, Taiwan

Date: July 22, 2013

13-092/III - Realized Volatility Risk

Authors: David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, and Complutense University of Madrid; Marcel Scharth, University of New South Wales, Australia

Date: July 16, 2013

13-090/III - Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data

Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam, Koc University; Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam