Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.
Lennart Hoogerheide
University
Vrije Universiteit Amsterdam
E-mail
Research field
Econometrics
Interests
Econometrics
Website
Key publications
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026.
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33.
Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.
Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks Journal of Econometrics, 139(1):154--180.
List of publications
Cross, JamieL., Hoogerheide, L., Labonne, P. and van Dijk, HermanK. (2024). Bayesian mode inference for discrete distributions in economics and finance Economics Letters, 235:.
Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026.
Ardia, D., Gatarek, L. and Hoogerheide, LennartF. (2017). A new bootstrap test for multiple assets joint risk testing Journal of Risk, 19(4):1--22.
Ardia, D. and Hoogerheide, L. (2014). GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts Economics Letters, 123(2):187--190.
Zellner, A., Ando, T., Basturk, N., Hoogerheide, L. and van Dijk, H.K. (2014). Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo Econometric Reviews, 33(1-4):3--35.
Ardia, D. and Hoogerheide, LennartF. (2013). Worldwide equity risk prediction Applied Economics Letters, 20(14):1333--1339.
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120.
Hoogerheide, L., Ardia, D. and Corre, N. (2012). Stock index returns' density prediction using GARCH models: Frequentist or Bayesian estimation? Economics Letters, 116(3):322--325.
Hoogerheide, L., Block, J. and Thurik, A. (2012). Family background variables as instruments for education in income regressions: a Bayesian analysis Economics of Education Review, 31(5):515--523.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33.
Hoogerheide, L. and van Dijk, H.K. (2010). Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling International Journal of Forecasting, 26(2):231--247.
Hoogerheide, L., Kleijn, R., Ravazzolo, F., van Dijk, H.K. and Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights Journal of Forecasting, 29:251--269.
Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.
Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks Journal of Econometrics, 139(1):154--180.