401 Discussion Papers

• 17-062/III - Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models

  Authors: Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark; Tinbergen Institute, The Netherlands; Rutger Lit, VU Amsterdam, The Netherlands

  Date: July 05, 2017

• 17-059/III - Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting

  Authors: Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark

  Date: July 05, 2017

• 17-058/III - Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

  Authors: Nalan Basturk, Maastricht University, The Netherlands; Lennart Hoogerheide, VU Amsterdam and Tinbergen Institute, The Netherlands; Herman K. van Dijk, Erasmus University and Tinbergen Institute, The Netherlands and Norges Bank, Norway

  Date: June 23, 2017

• 17-056/III - The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan

  Date: June 23, 2017

• 17-055/III - Theory and Application of an Economic Performance Measure of Risk

  Authors: Cuizhen Niu, Beijing Normal University, China; Xu Guo, Beijing Normal University, China; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan; Wing-Keung Wong, Beijing Normal University, China

  Date: June 23, 2017

• 17-054/III - Grade Expectations: Rationality and Overconfidence

  Authors: Jan R. Magnus, Vrije Universiteit Amsterdam and Tinbergen Institute, The Netherlands; Anatoly A. Peresetsky, National Research University Higher School of Economics, Moscow, Russia

  Date: June 23, 2017

• 17-052/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic 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; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain and Yokohama National University, Japan

  Date: June 09, 2017

• 17-051/III - Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA

  Authors: Chia-Lin Chang, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan.; Guangdong Zuo, National Tsing Hua University, Taiwan

  Date: May 31, 2017

• 17-050/III - Smooth Transition Spatial Autoregressive Models

  Authors: Bo Pieter Johannes Andree, VU Amsterdam and Tinbergen Institute, The Netherlands; Francisco Blasques, VU Amsterdam and Tinbergen Institute, The Netherlands; Eric Koomen, VU Amsterdam, The Netherlands

  Date: May 31, 2017

• 17-048/III - You've Got Email: A Workflow Management Extraction System

  Authors: Piyanuch Chaipornkaew, Dhurakij Pundit University, Thailand; Takorn Prexawanprasut, Dhurakij Pundit University, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: May 23, 2017

• 17-047/III - Re-Opening the Silk Road to Transform Chinese Trade

  Authors: Ning Mao, Dhurakij Pundit University, Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

  Date: May 22, 2017

• 17-046/III - Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software

  Authors: Chia-Lin Chang, Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

  Date: May 22, 2017

• 17-039/III - A near optimal test for structural breaks when forecasting under square error loss

  Authors: Tom Boot, University of Groningen; Andreas Pick, Erasmus University Rotterdam, De Nederlandsche Bank and CESifo Institute

  Date: April 18, 2017

• 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