368 Discussion Papers

• 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

• 18-099/III - Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

  Authors: Andries C. van Vlodrop, Vrije Universiteit Amsterdam; Andre (A.) Lucas, Vrije Universiteit Amsterdam

  Date: December 22, 2018

• 18-088/III - A Time-Varying Parameter Model for Local Explosions

  Authors: Francisco (F.) Blasques, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Marc Nientker, VU Amsterdam

  Date: November 16, 2018

• 18-085/III - Likelihood based inference for an Identifiable Fractional Vector Error Correction Model

  Authors: Federico Carlini, USI, Lugano; Katarzyna (K.A.) Lasak, University of Amsterdam

  Date: November 16, 2018

• 18-076/III - Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

  Authors: Nalan Basturk, Maastricht University; Agnieszka Borowska, VU University Amsterdam; Stefano Grassi, University of Rome, Tor Vergata; Lennart (L.F.) Hoogerheide, VU University Amsterdam; Herman (H.K.) van Dijk, Erasmus University Rotterdam

  Date: January 06, 2020

• 18-069/III - The Evolution of Forecast Density Combinations in Economics

  Authors: Knut Are Aastveit, Norges Bank; James Mitchell, Warwick Business School; Francesco Ravazzolo, Free University of Bozen/Bolzano; Herman van Dijk, Erasmus University, Noges Bank

  Date: September 02, 2018

• 18-065/III - Semiparametric Identification in Panel Data Discrete Response Models

  Author: Eleni (E.) Aristodemou, University of Amsterdam, The Netherlands

  Date: August 17, 2018

• 18-063/III - Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions

  Authors: Lennart (L.F.) Hoogerheide, VU University Amsterdam; Herman (H.K.) van Dijk, Erasmus University, Norges Bank

  Date: August 08, 2018

• 18-061/III - Earthquake risk embedded in property prices: Evidence from five Japanese cities

  Authors: Masako Ikefuji, University of Tsukuba; Roger J. A. Laeven, University of Amsterdam, CentER, EURANDOM; Jan R. Magnus, Vrije Universiteit Amsterdam; Yuan Yue, University of Amsterdam

  Date: July 11, 2018

• 18-052/III - Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs

  Authors: Chia-Lin Chang, National Chung Hsing University; Michael McAleer, Asia University, University of Sydney Business School, EUR; Yu-Ann Wang, National Chung Hsing University

  Date: May 25, 2018

• 18-051/III - Why did Warrant Markets Close in China but not Taiwan?

  Authors: Wing-Keung Wong, Asia University, China Medical University Hospital, Lingnan University; Hooi Hoi Lean, Universiti Sains Malaysia; Michael McAleer, Asia University, University of Sydney Business School, EUR; Feng-Tse Tsai, Asia University

  Date: May 25, 2018

• 18-048/III - Simple Market Timing with Moving Averages

  Authors: Jukka Ilomaki, University of Tampere, Finland; Hannu Laurila, University of Tampere, Finland; Michael McAleer, Asia University, Taiwan

  Date: May 18, 2018

• 18-047/III - Asymmetric Risk Impacts of Chinese Tourists to Taiwan

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Shu-Han Hsu, National Chung Hsing University, Taiwan; Michael McAleer, Asia University, Taiwan

  Date: May 18, 2018

• 18-045/III - Strong consistency of the least squares estimator in regression models with adaptive learning

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

  Date: May 11, 2018