41 Discussion Papers

• 15-082/III - Why do Pit-Hours outlive the Pit?

  Authors: Sait R. Ozturk, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: July 07, 2015

• 15-077/III - Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Yiying Li, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain

  Date: July 06, 2015

• 15-070/III - The Information in Systemic Risk Rankings

  Authors: Federico Nucera, Luiss Guido Carli University, Rome, Italy; Bernd Schwaab, European Central Bank, Frankfurt, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: June 01, 2015

• 15-069/III - Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

  Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Johannes Tang Kristensen, University of Southern Denmark, Denmark

  Date: June 01, 2015

• 15-061/III - On the Ambiguous Consequences of Omitting Variables

  Authors: Giuseppe De Luca, University of Palermo, Italy; Jan Magnus, VU University Amsterdam, the Netherlands; Franco Peracchi, University of Tor Vergata, Rome, Italy

  Date: May 22, 2015

• 15-056/III - A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, United States; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain

  Date: May 18, 2015

• 15-053/III - Joint and Cross-border Patents as Proxies for International Technology Diffusion

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

  Date: May 11, 2015

• 15-050/III - Cyclicality in Losses on Bank Loans

  Authors: Bart Keijsers, Erasmus University Rotterdam, the Netherlands; Bart Diris, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands

  Date: May 04, 2015

• 15-044/III - Bibliometric Rankings of Journals based on the Thomson Reuters Citations Database

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

  Date: March 31, 2015

• 15-042/III - The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

  Authors: Nalan Basturk, Maastricht University , the Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: March 30, 2015

• 15-040/III - Testing for Stock Market Contagion: A Quantile Regression Approach

  Authors: Sungyong Park, Chung-Ang University, Seoul, Korea; Wendun Wang, Erasmus University Rotterdam, the Netherlands; Naijing Huang, Boston College, United States

  Date: March 26, 2015

• 15-037/III - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

  Authors: Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: March 19, 2015

• 15-032/III - How Informative are the Unpredictable Components of Earnings Forecasts?

  Authors: Bert de Bruijn, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

  Date: March 06, 2015

• 15-029/III - Global Credit Risk: World, Country and Industry Factors

  Authors: Bernd Schwaab, European Central Bank, Financial Research, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: February 26, 2015

• 15-027/III - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

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

  Date: February 23, 2015

• 15-026/III - Frontiers in Time Series and Financial Econometrics: An Overview

  Authors: Shiqing Ling, Hong Kong University of Science and Technology, Hong Kong, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrid, Spain; Howell Tong, London School of Economics, United Kingdom

  Date: February 20, 2015

• 15-022/III - On the Invertibility of EGARCH(p,q)

  Authors: Guillaume Gaetan Martinet, Paris Tech, France, Columbia University, USA; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain.

  Date: February 12, 2015

• 15-019/III - Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models

  Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Mehmet Caner, North Carolina State University, United States; Anders Bredahl Kock, Aarhus University, Denmark; Juan Andres Riquelme, North Carolina State University, United States

  Date: February 10, 2015

• 15-018/III - The Impact of Jumps and Leverage in Forecasting Co-Volatility

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

  Date: February 09, 2015

• 15-009/III - Penalized Indirect Inference

  Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Artem Duplinskiy, VU University Amsterdam, the Netherlands

  Date: January 19, 2015