3423 Discussion Papers

• 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

  Date: June 17, 2014

• 14-070/IV - Common Risk Factors in Equity Markets

  Author: Victoria Atanasov, VU University Amsterdam, the Netherlands

  Date: June 17, 2014

• 14-069/III - A One Line Derivation of EGARCH

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

  Date: June 16, 2014

• 14-068/III - Survival Analysis of very Low Birth Weight Infant Mortality in Taiwan

  Authors: Chialin Chang, National Chung Hsing University, Taiwan; Wei-Chen Chen, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, China; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: June 10, 2014

• 14-067/III - Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes

  Authors: Francine Gresnigt; Erik Kole; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

  Date: June 03, 2014

• 14-066/VIII - Cultural Diversity and Cultural Distance as Choice Determinants of Migration Destination

  Authors: Zhiling Wang; Thomas de Graaff; Peter Nijkamp, VU University Amsterdam

  Date: June 02, 2014

• 14-065/IV - Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

  Author: Albert J. Menkveld, VU University Amsterdam, the Netherlands

  Date: June 02, 2014

• 14-064/VIII - Welfare Effects of Distortionary Tax Incentives under Preference Heterogeneity: An Application to Employer-provided Electric Cars

  Authors: Alexandros Dimitropoulos; Jos N. van Ommeren; Paul Koster; Piet Rietveld†, VU University Amsterdam

  Date: June 02, 2014

• 14-063/I - Bidding for Nothing? The Pitfalls of overly Neutral Framing

  Authors: Peter Dürsch, University of Heidelberg, Germany; Julia Muller, Erasmus University Rotterdam, the Netherlands.

  Date: May 25, 2014

• 14-062/III - Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrid, Spain

  Date: May 23, 2014

• 14-061/III - Empirical Bayes Methods for Dynamic Factor Models

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

  Date: May 23, 2014

• 14-060/III - A Tourism Financial Conditions Index

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

  Date: May 13, 2014

• 14-059/IV - Does Competition make Banks more Risk-seeking?

  Author: Stefan Arping, University of Amsterdam

  Date: May 12, 2014

• 14-058/I - Mostly Sunny: A Forecast of Tomorrow's Power Index Research

  Authors: Sascha Kurz, University of Bayreuth, Germany; Nicola Maaser, University of Bremen, Germany; Stefan Napel, University of Bayreuth, Germany, University of Turku, Finland; Matthias Weber, University of Amsterdam

  Date: May 09, 2014

• 14-057/III - Bayesian D-Optimal Choice Designs for Mixtures

  Authors: Aiste Ruseckaite, Erasmus University Rotterdam; Peter Goos, Universiteit Antwerpen, Belgium; Dennis Fok, Erasmus University Rotterdam

  Date: May 09, 2014

• 14-056/V - Testing for Distortions in Performance Measures: An Application to Residual Income Based Measures like Economic Value Added

  Authors: Randolph Sloof, University of Amsterdam; Mirjam van Praag, Copenhagen Business School, Denmark

  Date: May 09, 2014

• 14-055/V - Entrepreneurial Couples

  Authors: Michael S. Dahl, Aalborg University, Denmark; Mirjam van Praag, Copenhagen Business School, Denmark; Peter Thompson, Emory University, United States

  Date: May 08, 2014