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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
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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
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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
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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
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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
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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
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Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
See also the article in the <I>Review of Economics</I> (2014). Volume 65(1), pages 35-52.<P> The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of...</p></i>
Persistent link: https://www.econbiz.de/10011256655
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What do Experts know about Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2013
See the article in the <I>Annals of Financial Economics</I> (2013). Volume 8(1), pages 1-30.<P> Experts possess knowledge and information that are not publicly available. The paper is concerned with forecasting academic journal quality and research impact using a survey of international experts from a...</p></i>
Persistent link: https://www.econbiz.de/10011256794
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Combining Panel Data Sets with Attrition and Refreshment Samples
Hirano, Keisuke; Imbens, Guido W.; Ridder, Geert; … - Tinbergen Instituut - 1998
This discussion paper resulted in a publication in <I>Econometrica</I> (2001). Volume 69, issue 6, pages 1645-1659.<P> With panel data important issues can be resolved that can not beaddressed with cross--sectional data. A major drawback is that paneldata suffer from more severe missing data problems....</p></i>
Persistent link: https://www.econbiz.de/10011256809
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Bibliometric Rankings of Journals based on the Thomson Reuters Citations Database
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2015
Virtually all rankings of journals are based on citations, including self citations by journals and individual academics. The gold standard for bibliometric rankings based on citations data is the widely-used Thomson Reuters Web of Science (2014) citations database, which publishes, among...
Persistent link: https://www.econbiz.de/10011256888