369 Discussion Papers

• 12-121/III - Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

  Authors: Martin L. Scholtus, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bart Frijns, Auckland University of Technology

  Date: November 13, 2012

• 12-118/III - Time-varying Combinations of Predictive Densities using Nonlinear Filtering

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

  Date: November 07, 2012

• 12-110/III - A Forty Year Assessment of Forecasting the Boat Race

  Authors: Geert Mesters, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam

  Date: October 23, 2012

• 12-109/III - Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

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

  Date: October 12, 2012

• 12-103/III - Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques

  Authors: Ad Ridder, VU University Amsterdam; Bruno Tuffin, Inria Rennes Bretagne Atlantique

  Date: October 01, 2012

• 12-099/III - A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League

  Authors: Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam

  Date: September 27, 2012

• 12-098/III - Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

  Authors: Arnold Zellner (posthumously), University of Chicago, USA; Tomohiro Ando, Keio University, Japan; Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, Erasmus University Rotterdam; Herman K. van Dijk, VU University Amsterdam, and Erasmus University Rotterdam

  Date: September 24, 2012

• 12-097/III - Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

  Authors: H. Peter Boswijk, University of Amsterdam; Michael Jansson, UC Berkeley; Morten Ø. Nielsen, Queen's University

  Date: September 21, 2012

• 12-096/III - The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

  Authors: Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Anne Opschoor, Erasmus University Rotterdam; Herman K. van Dijk, EUR & VU

  Date: September 20, 2012