373 Discussion Papers

• 15-098/III - Industrial Agglomeration and Use of the Internet

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Yu-Chieh Wu, National Chung Hsing University, Taichung, Taiwan

  Date: August 17, 2015

• 15-095/III - What Do Professional Forecasters Actually Predict?

  Authors: Didier Nibbering, Erasmus University Rotterdam, the Netherlands; Richard Paap, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands

  Date: August 07, 2015

• 15-090/III - Daily Market News Sentiment and Stock Prices

  Authors: David E. Allen, Centre for Applied Financial Studies, Adelaide, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: July 28, 2015

• 15-089/III - Multivariate Volatility Impulse Response Analysis of GFC News Events

  Authors: David E. Allen, University of Sydney, and University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University

  Date: July 27, 2015

• 15-086/III - Specification Testing in Hawkes Models

  Authors: Francine Gresnigt, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

  Date: July 24, 2015

• 15-084/III - Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

  Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Kent, United Kingdom; Francesco Ravazzolo, Norges Bank, Norway; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands

  Date: March 24, 2016

• 15-083/III - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

  Authors: Francisco Blasques, VU University Amsterdam, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Katarzyna Lasak, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: July 09, 2015

• 15-082/III - Why do Pit-Hours outlive the Pit?

  Authors: Sait R. Ozturk, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: July 07, 2015

• 15-077/III - Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Yiying Li, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain

  Date: July 06, 2015

• 15-070/III - The Information in Systemic Risk Rankings

  Authors: Federico Nucera, Luiss Guido Carli University, Rome, Italy; Bernd Schwaab, European Central Bank, Frankfurt, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: June 01, 2015

• 15-069/III - Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

  Authors: Laurent Callot, VU University Amsterdam, the Netherlands; Johannes Tang Kristensen, University of Southern Denmark, Denmark

  Date: June 01, 2015

• 15-061/III - On the Ambiguous Consequences of Omitting Variables

  Authors: Giuseppe De Luca, University of Palermo, Italy; Jan Magnus, VU University Amsterdam, the Netherlands; Franco Peracchi, University of Tor Vergata, Rome, Italy

  Date: May 22, 2015

• 15-056/III - A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

  Authors: Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Juan-Ángel Jiménez-Martín, Complutense University of Madrid, Spain; Esfandiar Maasoumi, Emory University, United States; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain

  Date: May 18, 2015

• 15-053/III - Joint and Cross-border Patents as Proxies for International Technology Diffusion

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Ju-Ting Tang, National Chung Hsing University, Taiwan

  Date: May 11, 2015

• 15-050/III - Cyclicality in Losses on Bank Loans

  Authors: Bart Keijsers, Erasmus University Rotterdam, the Netherlands; Bart Diris, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands

  Date: May 04, 2015

• 15-044/III - Bibliometric Rankings of Journals based on the Thomson Reuters Citations Database

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Erasmus University Rotterdam, Complutense University of Madrid, Spain

  Date: March 31, 2015

• 15-042/III - The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

  Authors: Nalan Basturk, Maastricht University , the Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Herman K. van Dijk, Erasmus University Rotterdam, the Netherlands

  Date: March 30, 2015

• 15-040/III - Testing for Stock Market Contagion: A Quantile Regression Approach

  Authors: Sungyong Park, Chung-Ang University, Seoul, Korea; Wendun Wang, Erasmus University Rotterdam, the Netherlands; Naijing Huang, Boston College, United States

  Date: March 26, 2015

• 15-037/III - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions

  Authors: Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands

  Date: March 19, 2015

• 15-032/III - How Informative are the Unpredictable Components of Earnings Forecasts?

  Authors: Bert de Bruijn, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands

  Date: March 06, 2015