Discussion Papers

13-086/III - Herding, Information Cascades and Volatility Spillovers in Futures Markets

Authors: Michael McAleer, Erasmus University Rotterdam, The Netherlands, Kyoto University, Japan, Complutense University of Madrid, Spain; Kim Radalj, University of Western Australia

Date: July 15, 2013

13-085/III - Risk Modelling and Management: An Overview

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University; Teodosio Perez Amaral, Complutense University of Madrid, Spain

Date: June 25, 2013

13-082/III - A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Authors: Bernd Heidergott, VU University Amsterdam; Warren Volk-Makarewicz, VU University Amsterdam

Date: June 29, 2013

13-081/III - Robust Ranking of Journal Quality: An Application to Economics

Authors: Chia-Lin Chang, National Chung Hsing University; Esfandiar Maasoumi, Emory University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Kyoto University

Date: June 20, 2013

13-078/III - Ten Things you should know about the Dynamic Conditional Correlation Representation

Authors: Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan

Date: June 10, 2013

13-077/III - Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Authors: Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Kyoto University; John Suen, Chinese University of Hong Kong; Wing Keung Wong, Hong Kong Baptist University

Date: June 03, 2013

13-073/III - Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Authors: Manabu Asai, Soka University, Japan; Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan

Date: May 27, 2013

13-072/III - Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Authors: David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia

Date: May 27, 2013

13-070/III - GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

Authors: Juan-Angel Jimenez-Martin, Complutense University of Madrid, Spain; Michael McAleer, Complutense University of Madrid, Spain, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands, and Kyoto University, Japan; Teodosio Perez Amaral, Complutense University of Madrid, Spain; Paulo Araujo Santos, University of Lisbon, Portugal

Date: May 21, 2013

13-069/III - Modelling and Simulation: An Overview

Authors: Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan; Felix Chan, Curtin University, Australia; Les Oxley, University of Waikato, New Zealand

Date: May 21, 2013

13-068/III - Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Authors: Eran Raviv, Erasmus University Rotterdam; Kees E. Bouwman, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

Date: May 17, 2013

13-062/III - Solution-Driven Specification of DSGE Models

Author: Francisco Blasques, VU University Amsterdam

Date: April 19, 2013

13-061/III - Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Authors: Cees Diks, University of Amsterdam, the Netherlands; Valentyn Panchenko, University of New South Wales, Australia; Oleg Sokolinskiy,, Rutgers Business School, United States; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

Date: April 19, 2013

13-060/III - Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation

Authors: Lukasz Gatarek, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Koen Hooning, Delft University of Technology; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam, and VU University Amsterdam

Date: April 15, 2013

13-057/III - Analyzing Fixed-Event Forecast Revisions

Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Bert de Bruijn, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam

Date: April 11, 2013

13-055/III - Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Authors: Roberto Casarin, University Ca' Foscari of Venice and GRETA; Stefano Grassi, CREATES, Aarhus University; Francesco Ravazzolo, Norges Bank, and BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam

Date: April 09, 2013

13-054/III - On the Phase Dependence in Time-Varying Correlations Between Time-Series

Author: Francisco Blasques, VU University Amsterdam

Date: April 04, 2013

13-049/III - Are Forecast Updates Progressive?

Authors: Chia-Lin Chang, National Chung Hsing University Taichung; Philip Hans Franses, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Kyoto University

Date: March 25, 2013

13-048/III - Ten Things you should know about DCC

Authors: Massimiliano Caporin, University of Padova; Michael McAleer, Erasmus University Rotterdam, University of Madrid, Kyoto University

Date: March 21, 2013

13-047/III - GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Authors: David Ardia, Universite Laval, Quebec, Canada; Lennart Hoogerheide, VU University Amsterdam