Narrow search
Showing 1 - 10 of 86
Cover Image
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2011
Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to...</p></journal>
Persistent link: https://www.econbiz.de/10011256962
Cover Image
A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
Bos, Charles S.; Janus, Pawel - Tinbergen Instituut - 2013
In this article we introduce a new class of test statistics designed to detect the occurrence of abnormal observations. It derives from the joint distribution of moment- and quantile-based estimators of power variation sigma^r, under the assumption of a normal distribution for the underlying...
Persistent link: https://www.econbiz.de/10011255782
Cover Image
Asymptotically Informative Prior for Bayesian Analysis
Yuan, Ao; Gooijer, Jan G. de - Tinbergen Instituut - 2011
In classical Bayesian inference the prior is treated as fixed, it is asymptotically negligible,thus any information contained in the prior is ignored from the asymptotic first order result.However, in practice often an informative prior is summarized from previous similar or the samekind of...
Persistent link: https://www.econbiz.de/10011257069
Cover Image
Level-Slope-Curvature - Fact or Artefact?
Lord, Roger; Pelsser, Antoon - Tinbergen Instituut - 2005
conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope.<P>This discussion paper resulted in a publication in <A …
Persistent link: https://www.econbiz.de/10011256999
Cover Image
The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - Tinbergen Instituut - 2015
This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>
Persistent link: https://www.econbiz.de/10011272589
Cover Image
Time Series Modelling using TSMod 3.24
Bos, Charles S. - Tinbergen Instituut - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.
Persistent link: https://www.econbiz.de/10011255763
Cover Image
Competition and Well-Being
Brandts, Jordi; Riedl, Arno; Winden, Frans van - Tinbergen Instituut - 2004
We study the effects of competition in a context in which people's actions can not be contractually fixed. We find that in such an environment the very presence of competition does neither increase efficiency nor does it yield any payoff gains for the short side of the market. We also find that...
Persistent link: https://www.econbiz.de/10011255651
Cover Image
Social Ties in a Public Good Experiment
Dijk, Frans van; Sonnemans, Joep; Winden, Frans van - Tinbergen Instituut - 1996
The formation of social ties is examined in an experimental study of voluntary public good provision. The experiment consists of three parts. In the first part the value orientation (attitude to a generalized other) ismeasured. In the second part couples play 25 periods of a public good game. In...
Persistent link: https://www.econbiz.de/10011256082
Cover Image
Intention-Based Reciprocity and the Hidden Costs of Control
Siemens, Ferdinand von - Tinbergen Instituut - 2011
Empirical research suggests that - rather than improving incentives - exerting controlcan reduce workers' performance by eroding motivation. The present paper shows thatintention-based reciprocity can cause such motivational crowding-out if individuals differin their propensity for reciprocity...
Persistent link: https://www.econbiz.de/10011256604
Cover Image
Other-regarding Preferences, Group Identity and Political Participation: An Experiment
Robalo, Pedro; Schram, Arthur; Sonnemans, Joep - Tinbergen Instituut - 2013
We experimentally study the relationship between other-regarding preferences, group identity and political participation. In doing so, we propose a novel group identity induction procedure that succeeds in creating environments where in-group bias is either high or low. At the individual level,...
Persistent link: https://www.econbiz.de/10011256817