11 Discussion Papers

• 19-083/III - Bootstrapping Non-Stationary Stochastic Volatility

  Authors: Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna and Exeter Business School; Iliyan Georgiev, University of Bologna; Anders Rahbek, University of Copenhagen

  Date: December 01, 2019

• 19-058/III - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

  Authors: Sander Barendse, University of Oxford; Erik Kole, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-057/III - Partially Censored Posterior for Robust and Efficient Risk Evaluation

  Authors: Agnieszka Borowska, Vrije Universiteit Amsterdam; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam ; Herman van Dijk, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-056/III - Dynamics in clickthrough and conversion probabilities of paid search advertisements

  Authors: Anoek Castelein, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Richard Paap, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-043/III - Adaptive Testing for Cointegration with Nonstationary Volatility

  Authors: Peter Boswijk, University of Amsterdam; Yang Zu, University of Nottingham

  Date: June 21, 2019

• 19-025/III - Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

  Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi , University of Rome `Tor Vergata'; Francesco Ravazzollo , BI Norwegian Business School; Herman K. van Dijk , Erasmus University Rotterdam

  Date: April 01, 2019

• 19-021/III - Can Google Search Data Help Predict Macroeconomic Series?

  Authors: Robin Niesert; Jochem Oorschot, Econometric Institute, Erasmus University; Chris Veldhuisen; Kester Brons; Rutger-Jan Lange, Econometric Institute, Erasmus University

  Date: March 15, 2019

• 19-018/III - Bayesian Risk Forecasting for Long Horizons

  Authors: Agnieszka Borowska, VU Amsterdam; Lennart Hoogerheide, VU Amsterdam; Siem Jan Koopman, VU Amsterdam

  Date: February 22, 2019

• 19-012/III - Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Marc Nientker, Vrije Universiteit Amsterdam

  Date: February 20, 2019

• 19-005/III - Autonomous, Connected, Electric Shared vehicles (ACES) and public finance: an explorative analysis

  Authors: Martin Adler, VU University Amsterdam, AtAdlerAdvisory; Stefanie Peer, Vienna University of Economics and Business; Tanja Sinonzic, Institute of Technology Assessment (ITA), Austrian Academy of Sciences (OEAW)

  Date: February 20, 2019

• 19-004/III - Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

  Authors: Francisco Blasques, VU University Amsterdam; Vladimir Holy, University of Economics Prague; Petra Tomanova, University of Economics Prague

  Date: January 11, 2019