51 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

• 14-087/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

• 14-085/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

• 14-076/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

• 14-072/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

• 14-069/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

• 14-062/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

• 14-057/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

• 14-054/III - Risk Measurement and Risk Modelling using Applications of Vine Copulas

  Authors: David E. Allen, Sydney University, NSW, University of South Australia, Adelaide, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Australia

  Date: May 08, 2014

• 14-052/III - On an Estimation Method for an Alternative Fractionally Cointegrated Model

  Authors: Federico Carlini, CREATES, Aarhus University, Denmark; Katarzyna Lasak, VU University Amsterdam

  Date: May 01, 2014

• 14-046/III - Information Theoretic Optimality of Observation Driven Time Series Models

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

  Date: April 11, 2014

• 14-039/III - Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

  Authors: Lukasz Gatarek, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam

  Date: March 20, 2014

• 14-037/III - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Complutense University of Madrid, Spain

  Date: March 17, 2014