Similar Search Results

Identifying booms and busts in house prices under heterogeneous expectations

Bolt, Wilko; Demertzis, Maria; Diks, Cees G. H.; … - 2014

We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to fundamental buying prices. Using quarterly data we estimate the model parameters for eight different countries, US, UK, NL, JP, CH, ES, SE and BE. We find that the data support...

Persistent link: https://www.econbiz.de/10010465137

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Information flows around the globe : predicting opening gaps fom overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

Persistent link: https://www.econbiz.de/10003934266

A weak bifurcation theory for discrete time stochastic dynamical systems

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere … of the system. By introducing a weak equivalence notion of these dependence ratios, we arrive at a bifurcation theory for … which in the compact case, the set of stable (non-bifurcating) systems is open and dense. The theory is illustrated with …

Persistent link: https://www.econbiz.de/10011349208

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

Nonparametric tests for serial independence based on quadratic forms

Diks, Cees G. H.; Panchenko, Valentyn - 2005

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

Persistent link: https://www.econbiz.de/10011346484

Continuous beliefs dynamics

Diks, Cees G. H.; Weide, Roy van der - 2002

We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...

Persistent link: https://www.econbiz.de/10011333278

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10011334332

Heterogeneity as a natural source of randomness

Diks, Cees G. H.; Weide, Roy van der - 2003

We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...

Persistent link: https://www.econbiz.de/10011334360

Dynamic interbank network analysis using latent space models

Linardi, Fernando; Diks, Cees G. H.; Leij, Marco van der; … - 2017

Longitudinal network data are increasingly available, allowing researchers to model how networks evolve over time and to make inference on their dependence structure. In this paper, a dynamic latent space approach is used to model directed networks of monthly interbank exposures. In this model,...

Persistent link: https://www.econbiz.de/10011739417