Discussion Papers

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

13-113/III - Predicting Covariance Matrices with Financial Conditions Indexes

Authors: Anne Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

Date: August 09, 2013

13-111/III - Estimating Structural Parameters in Regression Models with Adaptive Learning

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

Date: August 06, 2013

13-098/III - International Technology Diffusion of Joint and Cross-border Patents

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

Date: July 22, 2013

13-092/III - Realized Volatility Risk

Authors: David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, and Complutense University of Madrid; Marcel Scharth, University of New South Wales, Australia

Date: July 16, 2013

13-090/III - Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data

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

Date: July 16, 2013

13-086/III - Herding, Information Cascades and Volatility Spillovers in Futures Markets

Authors: Michael McAleer, Erasmus University Rotterdam, The Netherlands, Kyoto University, Japan, Complutense University of Madrid, Spain; Kim Radalj, University of Western Australia

Date: July 15, 2013

13-085/III - Risk Modelling and Management: An Overview

Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University; Teodosio Perez Amaral, Complutense University of Madrid, Spain

Date: June 25, 2013

13-082/III - A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Authors: Bernd Heidergott, VU University Amsterdam; Warren Volk-Makarewicz, VU University Amsterdam

Date: June 29, 2013

13-081/III - Robust Ranking of Journal Quality: An Application to Economics

Authors: Chia-Lin Chang, National Chung Hsing University; Esfandiar Maasoumi, Emory University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Kyoto University

Date: June 20, 2013

13-078/III - Ten Things you should know about the Dynamic Conditional Correlation Representation

Authors: Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan

Date: June 10, 2013

13-077/III - Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Authors: Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Kyoto University; John Suen, Chinese University of Hong Kong; Wing Keung Wong, Hong Kong Baptist University

Date: June 03, 2013

13-073/III - Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Authors: Manabu Asai, Soka University, Japan; Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan

Date: May 27, 2013

13-072/III - Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Authors: David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia