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Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2000 - rev.

Persistent link: https://www.econbiz.de/10001554496

Oil price shocks and long run price and import demand behavior

Kleibergen, Frank; Urbain, Jean-Pierre; Dijk, Herman K. van - 1997

Persistent link: https://www.econbiz.de/10000972342

Oil price shocks and long run price and import demand behavior

Kleibergen, Frank; Urbain, Jean-Pierre; Dijk, Herman K. van - 1997

Persistent link: https://www.econbiz.de/10000988112

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001412189

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003774522

Simulation based Bayesian econometric inference : principles and some recent computational advances

Hoogerheide, Lennart F. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003414359

A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011

Persistent link: https://www.econbiz.de/10008809885

Simulation based Bayesian econometric inference : principles and some recent computational advances

Hoogerheide, Lennart F. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003431979

To bridge, to warp or to wrap? A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

Persistent link: https://www.econbiz.de/10003813789

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...

Persistent link: https://www.econbiz.de/10011377096