120 Discussion Papers

• 16-069/IV - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands

  Date: September 02, 2016

• 16-067/IV - Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Julia Schaumburg, VU University Amsterdam, the Netherlands

  Date: August 29, 2016

• 16-066/IV - Bank Business Models at Zero Interest Rates

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Julia Schaumburg, VU University Amsterdam, the Netherlands; Bernd Schwaab, European Central Bank, Germany

  Date: August 29, 2016

• 16-064/IV - Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

  Authors: Rutger-Jan Lange, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands; Arjen H. Siegmann, VU University Amsterdam, the Netherlands

  Date: August 29, 2016

• 16-051/IV - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

  Authors: Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands

  Date: July 11, 2016

• 16-022/IV - Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment

  Authors: Luiz Felix, VU University Amsterdam, the Netherlands; Roman Kraussl, University of Luxembourg, Luxemburg; Philip Stork, VU University Amsterdam, the Netherlands

  Date: April 01, 2016

• 16-008/IV - What causes the Positive Price-Turnover Correlation in European Housing Markets?

  Authors: Martijn I. Dröes, University of Amsterdam, and Amsterdam School of Real Estate, the Netherlands; Marc K. Francke, Amsterdam School of Real Estate, the Netherlands

  Date: February 04, 2016

• 15-110/IV - How to Construct Nationally Representative Firm Level Data from the Orbis Global Database: New Facts on SMEs and Aggregate Implications for Industry Concentration

  Authors: Sebnem Kalemli-Ozcan, University of Maryland; Bent Sørensen, University of Houston; Carolina Villegas-Sanchez, Universitat Ramon Llull; Vadym Volosovych, Erasmus University Rotterdam; Sevcan Yesiltas, Koc University

  Date: September 14, 2015

• 15-079/IV - Mortgage Finance and Technological Change

  Authors: Robin Döttling, University of Amsterdam, the Netherlands; Enrico Perotti, University of Amsterdam, the Netherlands

  Date: July 06, 2015

• 15-076/IV - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

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

  Date: July 01, 2015

• 15-057/IV - Regulating the Financial Cycle: An Integrated Approach with a Leverage Ratio

  Authors: Dirk Schoenmaker, VU University Amsterdam, the Netherlands; Peter Wierts, VU University Amsterdam, the Netherlands

  Date: June 16, 2015

• 15-046/IV - Investor Sentiment and Employment

  Authors: Maurizio Montone, Erasmus University Rotterdam, the Netherlands; Remco C.J. Zwinkels, VU University Amsterdam, the Netherlands

  Date: April 02, 2015

• 15-036/IV - Cheap but Flighty: How Global Imbalances create Financial Fragility

  Authors: Enrico Perotti, University of Amsterdam, the Netherlands; Toni Ahnert, Bank of Canada, Canada

  Date: March 19, 2015

• 15-035/IV - Insecure Debt

  Authors: Enrico Perotti, University of Amsterdam, the Netherlands; Rafael Matta, University of Amsterdam, the Netherlands

  Date: March 16, 2015

• 15-024/IV - Tail Mutual Exclusivity and Tail-Var Lower Bounds

  Authors: Ka Chun Cheung, The University of Hong Kong, Hong Kong, PR of China; Michel Denuit, Université Catholique de Louvain, Belgium; Jan Dhaene, Katholieke Universiteit Leuven, Belgium, University of the Free State, Bloemfontein, South Africa

  Date: February 12, 2015

• 15-020/IV - Banks and Market Liquidity

  Author: Stefan Arping, University of Amsterdam

  Date: February 10, 2015

• 15-008/IV - Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

  Authors: Runhuan Feng, University of Illinois at Urbana-Champaign, United States; Xiaochen Jing, University of Illinois at Urbana-Champaign, United States; Jan Dhaene, Katholieke Universiteit Leuven, Belgium

  Date: January 16, 2015

• 15-003/IV - Mixed Density based Copula Likelihood

  Authors: Kazim Azam, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands

  Date: January 08, 2015

• 15-002/IV - Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets

  Authors: Daniël Linders, KU Leuven, Leuven, Belgium; Jan Dhaene, KU Leuven, Leuven, Belgium; Wim Schoutens, KU Leuven, Leuven, Belgium

  Date: January 06, 2015

• 14-137/IV - Capital Structure Arbitrage revisited

  Author: Marcin Wojtowicz, VU University Amsterdam, the Netherlands

  Date: October 20, 2014