368 Discussion Papers

• 14-046/III - Information Theoretic Optimality of Observation Driven Time Series Models

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

  Date: April 11, 2014

• 14-039/III - Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

  Authors: Lukasz Gatarek, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam

  Date: March 20, 2014

• 14-037/III - Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Complutense University of Madrid, Spain

  Date: March 17, 2014

• 14-029/III - Maximum Likelihood Estimation for Score-Driven Models

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

  Date: March 04, 2014

• 14-028/III - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

  Authors: David Ardia, Laval University, Quebec, Canada; Lukasz Gatarek, Erasmus University Rotterdam; Lennart F. Hoogerheide, VU University Amsterdam

  Date: February 28, 2014

• 14-027/III - Intraday Price Discovery in Fragmented Markets

  Authors: Sait Ozturk, Econometric Institute, Erasmus University Rotterdam; Michel van der Wel, Econometric Institute, Erasmus University Rotterdam

  Date: February 27, 2014

• 14-026/III - Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations

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

  Date: February 25, 2014

• 14-025/III - Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay

  Author: Michael McAleer, College of Technology Management, National Tsing Hua University, Taiwan; Econometric Institute, Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain

  Date: February 25, 2014

• 14-024/III - A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

  Authors: Carsten Bormann; Melanie Schienle, Leibniz Universität Hannover, Germany; Julia Schaumburg, VU University Amsterdam

  Date: February 25, 2014

• 14-023/III - Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences

  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: February 24, 2014

• 14-022/III - Optimal Hedging with the Vector Autoregressive Model

  Authors: Lukasz Gatarek, Erasmus University Rotterdam; Søren Johansen, University of Copenhagen, CREATES, Denmark

  Date: February 18, 2014

• 14-021/III - Fractional Cointegration Rank Estimation

  Authors: Katarzyna Lasak, VU University Amsterdam, the Netherlands; Carlos Velasco, Universidad Carlos III de Madrid, Spain

  Date: February 13, 2014

• 14-014/III - Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series

  Authors: David E. Allen, University of South Africa; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: January 23, 2014

• 14-007/III - A Tourism Conditions Index

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

  Date: January 07, 2014

• 13-211/III - On Distributions of Ratios

  Authors: Simon A. Broda, University of Amsterdam; Raymond Kan, Joseph L. Rotman School of Management, University of Toronto, Canada

  Date: January 06, 2014

• 13-197/III - The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

  Authors: Kazumitsu Nawata, University of Tokyo, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

  Date: December 12, 2013

• 13-191/III - Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

  Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam; S. Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam

  Date: November 03, 2013

• 13-187/III - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

  Authors: H. Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna, Italy; Anders Rahbek, University of Copenhagen, Denmark, and CREATES; A. M. Robert Taylor, University of Essex, United Kingdom

  Date: November 19, 2013

• 13-173/III - Ranking Leading Econometrics Journals using Citations Data from ISI and RePEc

  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: October 18, 2013

• 13-168/III

  Authors: David Allen, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University Taiwan,A Capital Adequacy Buffer Model; G01, G21, G28, 13168.rdf

  Date: October 15, 2013