Discussion Papers

17-038/III - Realized Stochastic Volatility with General Asymmetry and Long Memory

Authors: Manabu Asai, Soka University, Japan; 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; Yokohama National University, Japan

Date: April 10, 2017

17-034/III - Interquantile Expectation Regression

Author: Sander Barendse, Erasmus University Rotterdam, The Netherlands

Date: March 20, 2017

17-032/III - Inference in high-dimensional linear regression models

Authors: Tom Boot, University of Groningen, The Netherlands; Didier Nibbering, Erasmus University Rotterdam, The Netherlands

Date: March 14, 2017

17-029/III - Weighted-Average Least Squares Estimation of Generalized Linear Models

Authors: Giuseppe de Luca, University of Palermo, Italy; Jan Magnus, VU Amsterdam, The Netherlands; Franco Peracchi, University Rome Tor Vergata, Italy

Date: February 27, 2017

17-022/III - Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Authors: Jinghui Chen, Yokohama National University, Japan; Masahito Kobayashi, Yokohama National University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: February 13, 2017

17-017/III - Forecasting the Volatility of Nikkei 225 Futures

Authors: Manabu Asai, Soko University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain

Date: January 30, 2017

17-015/III - The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

Authors: Chia-Lin Chang, National Chung Hsing University; Michael McAleer, National Tsing Hua University, Erasmus University Rotterdam, Complutense University of Madrid, Yokohama National University

Date: March 07, 2018

17-014/III - Theravada Buddhism and Thai Luxury Fashion Consumption

Authors: Mao Ning, Dhurakij Pundit University Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: January 23, 2017

17-013/III - A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Authors: David E. Allen, University of South Australia, University of Sydney, and Edith Cowan University, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain; Yokohama National University, Japan; Abhay K. Singh, Edith Cowan University, Australia

Date: January 23, 2017

16-107/III - A Bayesian Infinite Hidden Markov Vector Autoregressive Model

Authors: Didier Nibbering, Erasmus University Rotterdam, The Netherlands; Richard Paap, Erasmus University Rotterdam, The Netherlands; Michel van der Wel, Erasmus University Rotterdam, The Netherlands

Date: December 06, 2016

16-105/III - The Dynamic Factor Network Model with an Application to Global Credit-Risk

Authors: Falk Bräuning, Federal Reserve Bank of Boston, United States; Siem Jan Koopman, VU University Amsterdam, The Netherlands

Date: November 28, 2016

16-104/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Authors: Anastasios Zopiatis, Cyprus University of Technology, Cyprus; Christos S. Savva, Cyprus University of Technology, Cyprus; Neophytos Lambertides, Cyprus University of Technology, Cyprus; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: November 25, 2016

16-099/III - Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

Authors: Nalan Basturk, Maastricht University, The Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, The Netherlands; Herman K. van Dijk, Erasmus University Rotterdam, The Netherlands

Date: November 17, 2016

16-094/III - A Simple Test for Causality in Volatility

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, Yokohama National University, Japan

Date: November 07, 2016

16-084/III - Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

Authors: David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan; Robert Powell, Edith Cowan University, Perth, Australia; Abhay K. Singh, Edith Cowan University, Perth, Australia

Date: October 14, 2016

16-083/III - US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan; Dang-Khoa Nguyen, National Chung Hsing University Taichung, Taiwan

Date: October 14, 2016

16-082/III - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands; University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark; Sorbonne Universités, UPMC University Paris 06, France

Date: October 06, 2016

16-076/III - Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Authors: Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain; Yokohama National University, Japan

Date: September 12, 2016

16-075/III - Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes

Authors: Aiste Ruseckaite, Erasmus University Rotterdam, the Netherlands; Dennis Fok, Erasmus University Rotterdam, the Netherlands; Peter Goos, KU Leuven, Belgium