Discussion Papers

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

Date: August 14, 2014

14-105/III - Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Authors: Francisco Blasques; Siem Jan Koopman; Max Mallee, VU University Amsterdam, the Netherlands

Date: August 11, 2014

14-103/III - Optimal Formulations for Nonlinear Autoregressive Processes

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

Date: August 11, 2014

14-096/III - On the Invertibility of EGARCH

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

Date: July 25, 2014

14-091/III - Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males

Authors: Geert Mesters; Victor van der Geest; Catrien Bijleveld, VU University Amsterdam

Date: July 22, 2014

14-090/III - Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities

Authors: Anne Opschoor, VU University Amsterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

Date: July 21, 2014

14-087/III - A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Authors: Christian M. Hafner, Université Catholique de Louvain, Belgium; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrd, Spain

Date: July 11, 2014

14-085/III - On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, Koc University, Turkey; S. Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

Date: July 08, 2014

14-076/III - Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview

Authors: Shawkat Hammoudeh, Drexel University, Philadelphia, United States; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Italy

Date: June 23, 2014

14-075/III - Asymmetric Realized Volatility Risk

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 Madrid, Spain; Marcel Scharth, University of New South Wales, Australia

Date: June 23, 2014

14-074/III - Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

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

Date: June 20, 2014

14-072/III - Time Varying Transition Probabilities for Markov Regime Switching Models

Authors: Marco Bazzi, University of Padova, Italy; Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam, the Netherlands

Date: June 17, 2014

14-071/III - A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

Authors: Geert Mesters, VU University Amsterdam, the Netherlands; Bernd Schwaab, European Central Bank; Siem Jan Koopman, VU University Amsterdam, the Netherlands

Date: June 17, 2014

14-069/III - A One Line Derivation of EGARCH

Authors: Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Christian M. Hafner, Université Catholique de Louvain, Belgium

Date: June 16, 2014

14-068/III - Survival Analysis of very Low Birth Weight Infant Mortality in Taiwan

Authors: Chialin Chang, National Chung Hsing University, Taiwan; Wei-Chen Chen, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, China; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

Date: June 10, 2014

14-067/III - Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes

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

Date: June 03, 2014

14-062/III - Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations

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

Date: May 23, 2014

14-061/III - Empirical Bayes Methods for Dynamic Factor Models

Authors: Siem Jan Koopman; Geert Mesters, VU University Amsterdam