378 Discussion Papers

• 14-022/III - Optimal Hedging with the Vector Autoregressive Model

  Authors: Lukasz Gatarek, Erasmus University Rotterdam; Søren Johansen, University of Copenhagen, CREATES, Denmark

  Date: February 18, 2014

• 14-021/III - Fractional Cointegration Rank Estimation

  Authors: Katarzyna Lasak, VU University Amsterdam, the Netherlands; Carlos Velasco, Universidad Carlos III de Madrid, Spain

  Date: February 13, 2014

• 14-014/III - Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series

  Authors: David E. Allen, University of South Africa; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: January 23, 2014

• 14-007/III - A Tourism Conditions Index

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

  Date: January 07, 2014

• 13-211/III - On Distributions of Ratios

  Authors: Simon A. Broda, University of Amsterdam; Raymond Kan, Joseph L. Rotman School of Management, University of Toronto, Canada

  Date: January 06, 2014

• 13-197/III - The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations

  Authors: Kazumitsu Nawata, University of Tokyo, Japan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain

  Date: December 12, 2013

• 13-191/III - Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

  Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam; S. Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam

  Date: November 03, 2013

• 13-187/III - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

  Authors: H. Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna, Italy; Anders Rahbek, University of Copenhagen, Denmark, and CREATES; A. M. Robert Taylor, University of Essex, United Kingdom

  Date: November 19, 2013

• 13-173/III - Ranking Leading Econometrics Journals using Citations Data from ISI and RePEc

  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

  Date: October 18, 2013

• 13-168/III

  Authors: David Allen, University of South Australia, and University of Sydney, Australia; Michael McAleer, National Tsing Hua University Taiwan,A Capital Adequacy Buffer Model; G01, G21, G28, 13168.rdf

  Date: October 15, 2013

• 13-155/III - A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

  Authors: Charles S. Bos, VU University Amsterdam; Pawel Janus, VU University Amsterdam

  Date: October 04, 2013

• 13-151/III - A Note on an Estimation Problem in Models with Adaptive Learning

  Authors: Norbert Christopeit, University of Bonn, Germany; Michael Massmann, VU University Amsterdam

  Date: September 26, 2013

• 13-142/III - Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model

  Authors: Monica Billio, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice, Italy; Roberto Casarin, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice, Italy; Francesco Ravazzolo, Norges Bank and BI Norwegian Business School, Norway; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam, The Netherlands

  Date: September 16, 2013

• 13-132/III - Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

  Authors: Hooi Hooi Lean, Universiti Sains, Malaysia;; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; and Complutense University of Madrid, Spain

  Date: September 05, 2013

• 13-128/III - Market Integration Dynamics and Asymptotic Price Convergence in Distribution

  Authors: Alfredo García-Hiernaux, Complutense University of Madrid, Spain; David E. Guerrero, CUNEF Colegio Universitario de Estudios Financieros, Madrid, Spain; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain

  Date: September 03, 2013

• 13-127/III - Semiparametric Cross Entropy for Rare-Event Simulation

  Authors: Zdravko Botev, The University of New South Wales, Sydney, Australia; Ad Ridder, VU University Amsterdam; Leonardo Rojas-Nandayapa, The University of Queensland

  Date: September 02, 2013

• 13-122/III - Sequential Monte Carlo for Counting Vertex Covers in General Graphs

  Authors: Radislav Vaisman, Technion, Haifa, Israel; Zdravko Botev, University of New South Wales, Sidney, Australia; Ad Ridder, VU University Amsterdam

  Date: August 26, 2013

• 13-121/III - Forecasting Earnings Forecasts

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

  Date: August 22, 2013

• 13-118/III - The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, National Tsing Hua University, Hsinchu, Taiwan, Erasmus University Rotterdam, The Netherlands, and Complutense University of Madrid, Spain

  Date: August 16, 2013

• 13-114/III - Volatility Smirk as an Externality of Agency Conflict and Growing Debt

  Authors: Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, National Tsing Hua University, Taiwan; Complutense University of Madrid, Spain

  Date: August 12, 2013