Discussion Papers

16-065/III - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Authors: Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan

Date: August 29, 2016

16-064/IV - Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

Authors: Rutger-Jan Lange, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands; Arjen H. Siegmann, VU University Amsterdam, the Netherlands

Date: August 29, 2016

16-063/I - Gender and Redistribution: Experimental Evidence

Authors: Thomas Buser, University of Amsterdam, The Netherlands; Louis Putterman, Brown University, United States; Joël van der Weele, University of Amsterdam, The Netherlands

Date: August 23, 2016

16-062/VIII - Ethnic Drift and White Flight: A Gravity Model of Neighborhood Formation

Authors: Jessie Bakens, OIS, Municipality of Amsterdam, the Netherlands; Raymond Florax, Purdue University, United States; VU University Amsterdam, the Netherlands; Peter Mulder, VU University Amsterdam, the Netherlands

Date: August 18, 2016

16-061/III - Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Authors: Peter Reinhard Hansen, University of North Carolina at Chapel Hill, United States; Pawel Janus, UBS Global Asset Management, Zürich, Switzerland; Siem Jan Koopman, VU University Amsterdam, the Netherlands

Date: August 11, 2016

16-060/VII - Marketmaking Middlemen

Authors: Pieter Gautier, VU University Amsterdam, the Netherlands; Bo Hu, VU University Amsterdam, the Netherlands; Makoto Watanabe, VU University Amsterdam, the Netherlands

Date: August 09, 2016

16-059/I - An Experimental Study of Bond Market Pricing

Authors: Matthias Weber, Bank of Lithuania, and Vilnius University, Lithuania; John Duffy, University of California, Irvine, United States; Arthur Schram, University of Amsterdam, the Netherlands

Date: August 09, 2016

16-058/VI - International Trade and Labor Market Discrimination

Authors: Richard Chisik, Ryerson University, Toronto, Canada; Julian Emami Namini, Erasmus University Rotterdam, the Netherlands

Date: July 28, 2016

16-057/VI - Trade Policy Options of Ukraine: East or West

Authors: Irena Mikolajun, Erasmus University Rotterdam, the Netherlands; Richard Paap, Erasmus University Rotterdam, the Netherlands; Jean-Marie Viaene, Erasmus University Rotterdam, the Netherlands; Olga Zelenko, Argenta Spaarbank, the Netherlands

Date: July 28, 2016

16-056/VI - Fiscal Policy with Limited-Time Commitment

Authors: Alex Clymo, University of Amsterdam, the Netherlands; Andrea Lanteri, Duke University, United States

Date: July 26, 2016

16-055/I - Inclusive Fitness

Authors: Matthijs van Veelen, University of Amsterdam, the Netherlands; Benjamin Allen, Emmanuel College, Boston, United States; Moshe Hoffman, Rady School of Management, UC San Diego, United States; Burton Simon, University of Colorado, Denver, United States; Carl Veller, Harvard University, Cambridge, United States

Date: July 26, 2016

16-054/V - How does Market Access for Smallholders affect Export Supply? The Case of Tobacco Marketing in Malawi

Author: Wouter Zant, VU University Amsterdam, the Netherlands

Date: July 25, 2016

16-053/III - Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

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; Jiarong Tian, National Tsing Hua University, Taiwan

Date: July 18, 2016

16-052/III - An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

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; Chien-Hsun Wang, National Tsing Hua University, Taiwan

Date: July 18, 2016

16-051/IV - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

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

Date: July 11, 2016

16-050/VII - Communication versus (Restricted) Delegation: An Experimental Comparison

Authors: Silvia Dominguez Martinez, University of Amsterdam, The Netherlands; Randolph Sloof, University of Amsterdam, The Netherlands

Date: July 05, 2016

16-049/VII - Risk and Loss Aversion, Price Uncertainty and the Implications for Consumer Search

Authors: Adriaan R. Soetevent, University of Groningen, The Netherlands; Tadas Bruzikas, University of Groningen, The Netherlands

Date: July 04, 2016

16-048/II - R&D Cooperatives and Market Collusion: A Global Dynamic Approach

Authors: Jeroen Hinloopen, Utrecht University, The Netherlands; Grega Smrkolj, Newcastle University, United Kingdom; Florian Wagener, University of Amsterdam, The Netherlands

Date: June 28, 2016

16-047/III - Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

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; Yanghuiting Wang, National Tsing Hua University, Taiwan

Date: June 27, 2016

16-046/III - Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

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