Discussion Papers

14-090/III - Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities

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

Date: July 21, 2014

14-089/I - Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs

Authors: Matthias Weber, University of Amsterdam, the Netherlands; Martin Schumacher, University Medical Center, Freiburg; Harald Binder, University Medical Center, Mainz, Germany

Date: July 16, 2014

14-088/VIII - Estimating the Skill Bias in Agglomeration Externalities and Social Returns to Education: Evidence from Dutch Matched Worker-Firm Micro-data

Authors: Stefan P.T. Groot, Centraal Planbureau, The Hague, the Netherlands; Henri L.F. de Groot, VU University Amsterdam, the Netherlands

Date: July 11, 2014

14-087/III - A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Authors: Christian M. Hafner, Université Catholique de Louvain, Belgium; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrd, Spain

Date: July 11, 2014

14-086/II - Transfers and Exchange-Stability in Two-Sided Matching Problems

Authors: Emiliya Lazarova, University of East Anglia, United Kingdom; Peter Borm, Tilburg University, the Netherlands; Arantza Estévez-Fernández, VU University Amsterdam, the Netherlands

Date: July 08, 2014

14-085/III - On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, Koc University, Turkey; S. Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

Date: July 08, 2014

14-084/VI - Does Access to Foreign Markets shape Internal Migration? Evidence from Brazil

Authors: Laura Hering, Erasmus University Rotterdam, the Netherlands; Rodrigo Paillacar, University of Cergy-Pontoise, France

Date: July 07, 2014

14-083/I - The Impact of Losing in a Competition on the Willingness to seek Further Challenges

Author: Thomas Buser, University of Amsterdam

Date: July 07, 2014

14-082/VII - Financial Distress and Happiness of Employees in Times of Economic Crisis

Authors: Efstratia Arampatzi, EURAC b.v.; Martijn J. Burger, Erasmus University Rotterdam; Ruut Veenhoven, Erasmus University Rotterdam, the Netherlands

Date: July 04, 2014

14-081/VIII - How Diverse can Spatial Measures of Cultural Diversity be? Results from Monte Carlo Simulations on an Agent-Based Model

Authors: Daniel Arribas-Bel, VU University Amsterdam; Peter Nijkamp, VU University Amsterdam; Jacques Poot, The University of Waikato, New Zealand

Date: July 03, 2014

14-080/VII - Prices, Product Differentiation, and Heterogeneous Search Costs

Authors: José L. Moraga-González, VU University Amsterdam, the Netherlands; Zsolt Sándor, Sapientia University, Rumania; Matthijs R. Wildenbeest, Indiana University, United States

Date: July 03, 2014

14-079/IV - Mutual Funds and Information Diffusion: The Role of Country-Level Governance

Authors: Chunmei Lin, Erasmus University Rotterdam, the Netherlands; Massimo Massa, INSEAD, France; Hong Zhang, INSEAD, France, Tsinghua University, Singapore

Date: July 01, 2014

14-078/VIII - Probabilistic Choice and Congestion Pricing with Heterogeneous Travellers and Price-Sensitive Demand

Authors: Paul Koster; Erik T. Verhoef, VU University Amsterdam, the Netherlands; Simon Shepherd; David Watling, University of Leeds, United Kingdom

Date: June 27, 2014

14-077/VIII - On the Existence and Uniqueness of Equilibrium in the Bottleneck Model with Atomic Users

Authors: Hugo Emilio Silva, VU University Amsterdam; Robin Lindsey, University of British Columbia; André de Palma, University of British Columbia, Canada; Vincent A.C. van den Berg, VU University Amsterdam, the Netherlands

Date: June 27, 2014

14-076/III - Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview

Authors: Shawkat Hammoudeh, Drexel University, Philadelphia, United States; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Italy

Date: June 23, 2014

14-075/III - Asymmetric Realized Volatility Risk

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 Madrid, Spain; Marcel Scharth, University of New South Wales, Australia

Date: June 23, 2014

14-074/III - Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

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

Date: June 20, 2014

14-073/IV - New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Authors: Pawel Janus, UBS Global Asset Management, the Netherlands; André Lucas, VU University Amsterdam; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick J.C. van Dijk, Erasmus University Rotterdam, the Netherlands

Date: June 19, 2014

14-072/III - Time Varying Transition Probabilities for Markov Regime Switching Models

Authors: Marco Bazzi, University of Padova, Italy; Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam, the Netherlands

Date: June 17, 2014

14-071/III - A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

Authors: Geert Mesters, VU University Amsterdam, the Netherlands; Bernd Schwaab, European Central Bank; Siem Jan Koopman, VU University Amsterdam, the Netherlands