402 Discussion Papers

• 13-010/III - Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

  Authors: Michael McAleer, Erasmus University Rotterdam; Juan-Ángel Jiménez-Martín, Complutense University of Madrid; Teodosio Pérez-Amaral, Complutense University of Madrid

  Date: January 08, 2013

• 13-009/III - Volatility Spillovers from the US to Australia and China across the GFC

  Authors: David E. Allen, Edith Cowan University; Michael McAleer, Econometric Institute, Erasmus University Rotterdam, Complutense University of Madrid, and Kyoto University; R.J. Powell, Edith Cowan University; A.K. Singh, Edith Cowan University

  Date: January 08, 2013

• 13-008/III - Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-007/III - How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Complutense University of Madrid; Chi-Chung Chen, National Chung Hsing University, Taiwan

  Date: January 08, 2013

• 13-006/III - Statistical Modelling of Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR), Taiwan; Michael McAleer, Erasmus University Rotterdam,Kyoto University, Japan, and Complutense University of Madrid; Ching-Chung Chang, Academia Sinica, Taiwan

  Date: January 08, 2013

• 13-005/III - Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

  Authors: Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-004/III - Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR); Michael McAleer, Erasmus University Rotterdam, Kyoto University Japan, Complutense University of Madrid; Szu-Hua Wang, Chinese Cultural University, Taiwan

  Date: January 07, 2012

• 13-003/III - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, Erasmus University Rotterdam, The Netherlands; Kyoto University, Japan; Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-002/III - Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence

  Authors: Chia-Lin Chang, National Chung Hsing University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, and Kyoto University; Les Oxley, University of Waikato

  Date: January 04, 2013

• 13-001/III - Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

  Author: Simon A. Broda, University of Amsterdam

  Date: January 08, 2013

• 12-133/III - Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

  Author: Francisco Blasques, VU University Amsterdam

  Date: December 05, 2012

• 12-131/III - Managing Sales Forecasters

  Authors: Bert de Bruijn, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam

  Date: December 03, 2012

• 12-128/III - Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes

  Author: Jan F. Kiviet, University of Amsterdam

  Date: November 27, 2012

• 12-121/III - Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

  Authors: Martin L. Scholtus, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bart Frijns, Auckland University of Technology

  Date: November 13, 2012

• 12-118/III - Time-varying Combinations of Predictive Densities using Nonlinear Filtering

  Authors: Monica Billio, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Roberto Casarin, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Francesco Ravazzolo, Norges Bank and BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam

  Date: November 07, 2012

• 12-110/III - A Forty Year Assessment of Forecasting the Boat Race

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

  Date: October 23, 2012

• 12-109/III - Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

  Authors: Norbert Christopeit, University of Bonn; Michael Massmann, VU University Amsterdam

  Date: October 12, 2012

• 12-103/III - Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques

  Authors: Ad Ridder, VU University Amsterdam; Bruno Tuffin, Inria Rennes Bretagne Atlantique

  Date: October 01, 2012

• 12-099/III - A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League

  Authors: Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam

  Date: September 27, 2012

• 12-098/III - Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

  Authors: Arnold Zellner (posthumously), University of Chicago, USA; Tomohiro Ando, Keio University, Japan; Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, Erasmus University Rotterdam; Herman K. van Dijk, VU University Amsterdam, and Erasmus University Rotterdam

  Date: September 24, 2012