41 Discussion Papers

• 15-140/III - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

  Authors: Erik Kole, Erasmus University Rotterdam, the Netherlands; Thijs Markwat, Robeco Asset Management, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: January 04, 2015

• 15-138/III - Generalized Autoregressive Method of Moments

  Authors: Drew Creal, The University of Chicago Booth School of Business, United States; Siem Jan Koopman, VU University Amsterdam, the Netherlands; ; Marcin Zamojski, VU University Amsterdam, the Netherlands

  Date: December 24, 2015

• 15-133/III - Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, USA; Michel McAleer, National TsingHua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, the Netherlands; Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain

  Date: December 15, 2015

• 15-132/III - Tail Distribution of the Maximum of Correlated Gaussian Random Variables

  Authors: Zdravko Botev, The University of New South Wales, Sydney, Australia; Michel Mandjes, University of Amsterdam, the Netherlands; Ad Ridder, VU University Amsterdam, the Netherlands

  Date: December 15, 2015

• 15-131/III - A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”

  Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands, University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands, Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark, Sorbonne Universités, UPMC University Paris, Sorbonne Universities, France

  Date: December 11, 2015

• 15-129/III - The Fundamental Equation in Tourism Finance

  Author: Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: November 23, 2015

• 15-125/III - Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

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

  Date: November 06, 2015

• 15-122/III - Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

  Authors: David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Robert J. Powell, Edith Cowan University, Australia; Abbay K. Singh, Edith Cowan University, Australia

  Date: November 02, 2015

• 15-119/III - From Disorder to Order

  Authors: Xiao-Guang Yue, Wuhan University Wuhan, China; Yong Cao, Southwest Forestry University Kunming, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Italy

  Date: October 26, 2015

• 15-118/III - Exploiting Spillovers to forecast Crashes

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

  Date: October 23, 2015

• 15-111/III - Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode

  Authors: Monica Billio, University Ca’ Foscari of Venice; Italy; Roberto Casarin, University Ca’ Foscari of Venice; Italy; Francesco Ravazzolo, BI Norwegian Business School, and Norges Bank, Norway; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: September 15, 2015

• 15-106/III - Estimating Structural Parameters in Regression Models with Adaptive Learning

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

  Date: September 02, 2015

• 15-102/III - Assigning Multiple Job Types to Parallel Specialized Servers

  Author: Dinard van der Laan, VU University Amsterdam, the Netherlands

  Date: August 24, 2015

• 15-098/III - Industrial Agglomeration and Use of the Internet

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

  Date: August 17, 2015

• 15-095/III - What Do Professional Forecasters Actually Predict?

  Authors: Didier Nibbering, Erasmus University Rotterdam, the Netherlands; Richard Paap, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands

  Date: August 07, 2015

• 15-090/III - Daily Market News Sentiment and Stock Prices

  Authors: David E. Allen, Centre for Applied Financial Studies, Adelaide, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: July 28, 2015

• 15-089/III - Multivariate Volatility Impulse Response Analysis of GFC News Events

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

  Date: July 27, 2015

• 15-086/III - Specification Testing in Hawkes Models

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

  Date: July 24, 2015

• 15-084/III - Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

  Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Kent, United Kingdom; Francesco Ravazzolo, Norges Bank, Norway; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands

  Date: March 24, 2016

• 15-083/III - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

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

  Date: July 09, 2015