32 Discussion Papers

• 17-111/III - Finite Sample Optimality of Score-Driven Volatility Models

  Authors: Francisco (F.) Blasques, VU Amsterdam; Tinbergen Institute, The Netherlands; Andre (A.) Lucas, VU Amsterdam; Tinbergen Institute, The Netherlands; Andries van Vlodrop, VU Amsterdam; Tinbergen Institute, The Netherlands

  Date: November 24, 2017

• 17-105/III - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University, The Netherlands; Shelton Peiris, School of Mathematics and Statistics University of Sydney, Australia

  Date: November 03, 2017

• 17-102/III - A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries

  Authors: Michael McAler, National Tsing Hua University, Taiwan; Hang K. Ryu, Chung Ang University, Seoul, Korea; Daniel J. Slottje, Southern Methodist University, Dallas, USA

  Date: November 03, 2017

• 17-097/III - Specification Testing of Production in a Stochastic Frontier Model

  Authors: Xu Guo, Beijing Normal University; Gao-Rong Li, Beijing University of Technology; Michael McAleer, Econometric Institute, Erasmus University Rotterdam; Wing-Keung Wong, Asia University, Lingnan University

  Date: October 26, 2017

• 17-082/III - Stationarity and Invertibility of a Dynamic Correlation Matrix

  Author: Michael mcAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands

  Date: September 06, 2017

• 17-072/III - A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models

  Authors: Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Marc Nientker, VU Amsterdam, The Netherlands

  Date: August 02, 2017

• 17-071/III - A Tourism Financial Conditions Index for Tourism Finance

  Authors: Chia-Lin Chang, Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, Department of Finance, National Pingtung University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: August 04, 2017

• 17-069/III - Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management

  Authors: David Allen, Department of Mathematics, University of Sydney, Australia; Michael McAleer, Department of Quantitative Finance, National Tsing Hua University, Taiwan; Discipline of Business Analytics, University of Sydney Business School, Australia; Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands

  Date: July 31, 2017

• 17-066/III - A Generalized Email Classification System for Workflow Analysis

  Authors: Piyanuch Chaipornkaew, College of Innovative Technology and Engineering, Dhurakij Pundit University, Thailand; Takorn Prexawanprasut, College of Innovative Technology and Engineering, Dhurakij Pundit University, Thailand; Chia-Lin Chang, Department of Applied Economics and Department of Finance, National Chung Hsing University, Taiwan; Michael McAleer, Department of Quantitative Finance, National Tsing Hua University, Taiwan; Discipline of Business Analytics, University of Sydney Business School, Australia; Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands

  Date: July 31, 2017

• 17-063/III - Impact of Psychological Needs on Luxury Consumption

  Authors: Ning Mao, China-ASEAN International College and Dhurakij Pundit University, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan; Shuyu Bai, Limian Material Technology Corporation, China

  Date: July 18, 2017

• 17-062/III - Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models

  Authors: Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark; Tinbergen Institute, The Netherlands; Rutger Lit, VU Amsterdam, The Netherlands

  Date: July 05, 2017

• 17-059/III - Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting

  Authors: Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark

  Date: July 05, 2017

• 17-058/III - Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

  Authors: Nalan Basturk, Maastricht University, The Netherlands; Lennart Hoogerheide, VU Amsterdam and Tinbergen Institute, The Netherlands; Herman K. van Dijk, Erasmus University and Tinbergen Institute, The Netherlands and Norges Bank, Norway

  Date: June 23, 2017

• 17-056/III - The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan

  Date: June 23, 2017

• 17-055/III - Theory and Application of an Economic Performance Measure of Risk

  Authors: Cuizhen Niu, Beijing Normal University, China; Xu Guo, Beijing Normal University, China; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan; Wing-Keung Wong, Beijing Normal University, China

  Date: June 23, 2017

• 17-054/III - Grade Expectations: Rationality and Overconfidence

  Authors: Jan R. Magnus, Vrije Universiteit Amsterdam and Tinbergen Institute, The Netherlands; Anatoly A. Peresetsky, National Research University Higher School of Economics, Moscow, Russia

  Date: June 23, 2017

• 17-052/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

  Authors: Anastasios Zopiatis, Cyprus University of Technology, Cyprus; Christos S. Savva, Cyprus University of Technology, Cyprus; Neophytos Lambertides, Cyprus University of Technology, Cyprus; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain and Yokohama National University, Japan

  Date: June 09, 2017

• 17-051/III - Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA

  Authors: Chia-Lin Chang, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan.; Guangdong Zuo, National Tsing Hua University, Taiwan

  Date: May 31, 2017

• 17-050/III - Smooth Transition Spatial Autoregressive Models

  Authors: Bo Pieter Johannes Andree, VU Amsterdam and Tinbergen Institute, The Netherlands; Francisco Blasques, VU Amsterdam and Tinbergen Institute, The Netherlands; Eric Koomen, VU Amsterdam, The Netherlands

  Date: May 31, 2017

• 17-048/III - You've Got Email: A Workflow Management Extraction System

  Authors: Piyanuch Chaipornkaew, Dhurakij Pundit University, Thailand; Takorn Prexawanprasut, Dhurakij Pundit University, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: May 23, 2017