Discussion Papers

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

15-005/III - Quality Weighted Citations versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting

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

Date: January 13, 2015

14-153/III - Econometric Analysis of Financial Derivatives: An Overview

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

Date: December 16, 2014

14-152/III - Combined Density Nowcasting in an Uncertain Economic Environment

Authors: Knut Are Aastveit, Norges Bank, Norway; Francesco Ravazzolo, Norges Bank, BI Norwegian Business School, Norway; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam, the Netherlands

Date: December 09, 2014

14-151/III - Hedge Fund Portfolio Diversification Strategies across the GFC

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 of Madrid, Spain; Shelton Peiris, University of Sydney, Australia; Abhay K. Singh, Edith Cowan University, Australia

Date: December 08, 2014

14-147/III - Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Anders B. Kock, Aarhus University, Denmark; Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasil

Date: November 13, 2014

14-145/III - Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy

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

Date: November 07, 2014

14-135/III - Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities

Authors: Jacques J.F. Commandeur, VU University Amsterdam, the Netherlands; Suncica Vujic, University of Antwerp, Belgium; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Barbara Kasprzyk-Hordern, University of Bath, United Kingdom

Date: October 16, 2014

14-134/III - European Market Portfolio Diversification Strategies across the GFC

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 of Madrid, Spain; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia

Date: October 16, 2014

14-133/III - Expected Utility and Catastrophic Risk

Authors: Masako Ikefuji, University of Southern Denmark, Denmark; Roger Laeven, University of Amsterdam, the Netherlands; Jan Magnus, VU University Amsterdam, the Netherlands; Chris Muris, Simon Fraser University, Canada

Date: October 14, 2014

14-127/III - The Forecast Combination Puzzle: A Simple Theoretical Explanation

Authors: Gerda Claeskens, KU Leuven, Belgium; Jan Magnus, VU University Amsterdam, the Netherlands; Andrey Vasnev, University of Sydney, Australia; Wendun Wang, Erasmus University, Rotterdam, the Netherlands

Date: September 19, 2014

14-126/III - Adaptation for Mitigation

Authors: Masako Ikefuji, University of Southern Denmark, Esbjerg, Denmark; Jan Magnus, VU University Amsterdam, Netherlands; Hiroaki Sakamoto, Waseda University, Japan

Date: September 19, 2014

14-125/III - Asymmetry and Leverage in Conditional Volatility Models

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

Date: September 18, 2014

14-119/III - Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data

Authors: Nalan Basturk, Maastricht University, the Netherlands; Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam, the Netherlands

Date: September 01, 2014

14-118/III - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Authors: István Barra, VU University Amsterdam, Duisenberg School of Finance, the Netherlands; Lennart Hoogerheide, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam, the Netherlands

Date: September 02, 2014

14-113/III - Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Authors: Irma Hindrayanto, De Nederlandsche Bank; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Jasper de Winter, De Nederlandsche Bank, the Netherlands

Date: August 22, 2014

14-107/III - Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Authors: Francisco Blasques; Siem Jan Koopman; Andre Lucas; Julia Schaumburg, VU University Amsterdam

Date: August 14, 2014

14-106/III - Volatility Spillovers from Australia's Major Trading Partners across the GFC

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