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~isPartOf:"CESifo working papers"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Report / Econometric Institute, Erasmus University Rotterdam"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~language:"eng"
~person:"Asai, Manabu"
~person:"Bos, Charles S."
~person:"Boswijk, Herman Peter"
~person:"Dijk, Dick van"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Janssen, Maarten C. W."
~person:"Koopman, Siem Jan"
~person:"Ravazzolo, Francesco"
~subject:"Bayes-Statistik"
~subject:"Business cycle"
~subject:"Schätzung"
~subject:"Statistische Verteilung"
~subject:"Theorie"
~subject:"Time series analysis"
~type_genre:"Collection of articles written by one author"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Asai, Manabu
Bos, Charles S.
Boswijk, Herman Peter
Dijk, Dick van
Gil-Alaña, Luis A.
Heckman, James J.
Janssen, Maarten C. W.
Koopman, Siem Jan
Ravazzolo, Francesco
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116
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62
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58
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57
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52
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44
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Report / Econometric Institute, Erasmus University Rotterdam
Technical working paper / National Bureau of Economic Research
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44
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Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
2
Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
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61
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
Saved in:
62
Adaptive polar sampling : a new MC technique for the analysis of ill-behaved surfaces
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
1998
-
August 25, 1998, rev. B
Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in all-but-onedirections of the parameter space. The method is based on the mixed integrationtechnique of Van Dijk, Kloek & Boender (1985) but extends this one by...
Persistent link: https://www.econbiz.de/10011299991
Saved in:
63
SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas
;
Dijk, Dick van
;
Franses, Philip Hans
; …
-
1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
Saved in:
64
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10011302131
Saved in:
65
Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011302625
Saved in:
66
Catching hipo's : screening, wages and unemployment
Janssen, Maarten C. W.
-
2000
In this paper, I study the wage a firm sets to attract high abilityworkers (hipo's) in situationsof unemployment. I show that the higher unemployment, the larger afirm's incentives to sorthigh and low ability workers. Moreover, workers will signal their(high) ability in situationsof (high)...
Persistent link: https://www.econbiz.de/10011303310
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67
The stochastic volatility in mean model
Koopman, Siem Jan
;
Hol Uspensky, Eugenie
-
2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314
Saved in:
68
Continuous time trading in markets with adverse selection
Janssen, Maarten C. W.
;
Karamychev, Vladimir A.
-
2000
We investigate the nature of the adverse selection problem in a market for adurable goodwhere trading and entry of new buyers and sellers takes place in continuoustime. In thecontinuous time model equilibria with properties that are qualitativelydifferent from thestatic equilibria, emerge....
Persistent link: https://www.econbiz.de/10011304379
Saved in:
69
Forecasting the variability of stock index returns with stochastic volatility models and implied volatility
Hol Uspensky, Eugenie
;
Koopman, Siem Jan
-
2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011304384
Saved in:
70
Adoption of superior technology in markets with heterogeneous network externalities and price competition
Janssen, Maarten C. W.
;
Mendys-Kamphorst, Ewa
-
2000
In this paper we investigate whether markets with heterogeneous network externalities can belocked-in by old technologies even if superior technologies are available. Heterogeneous networkexternalities are present when some consumers care more about the size of the market share of agood than...
Persistent link: https://www.econbiz.de/10011304401
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