373 Discussion Papers

• 17-050/III - Smooth Transition Spatial Autoregressive Models

  Authors: Bo Pieter Johannes Andree, VU Amsterdam and Tinbergen Institute, The Netherlands; Francisco Blasques, VU Amsterdam and Tinbergen Institute, The Netherlands; Eric Koomen, VU Amsterdam, The Netherlands

  Date: May 31, 2017

• 17-048/III - You've Got Email: A Workflow Management Extraction System

  Authors: Piyanuch Chaipornkaew, Dhurakij Pundit University, Thailand; Takorn Prexawanprasut, Dhurakij Pundit University, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: May 23, 2017

• 17-047/III - Re-Opening the Silk Road to Transform Chinese Trade

  Authors: Ning Mao, Dhurakij Pundit University, Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

  Date: May 22, 2017

• 17-046/III - Recent Topical Research on Global, Energy, Health & Medical, and Tourism Economics, and Global Software

  Authors: Chia-Lin Chang, Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands; Complutense University of Madrid, Spain and Yokohama National Univ

  Date: May 22, 2017

• 17-039/III - A near optimal test for structural breaks when forecasting under square error loss

  Authors: Tom Boot, University of Groningen; Andreas Pick, Erasmus University Rotterdam, De Nederlandsche Bank and CESifo Institute

  Date: April 18, 2017

• 17-038/III - Realized Stochastic Volatility with General Asymmetry and Long Memory

  Authors: Manabu Asai, Soka University, Japan; 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; Yokohama National University, Japan

  Date: April 10, 2017

• 17-034/III - Interquantile Expectation Regression

  Author: Sander Barendse, Erasmus University Rotterdam, The Netherlands

  Date: March 20, 2017

• 17-032/III - Inference in high-dimensional linear regression models

  Authors: Tom Boot, University of Groningen, The Netherlands; Didier Nibbering, Erasmus University Rotterdam, The Netherlands

  Date: March 14, 2017

• 17-029/III - Weighted-Average Least Squares Estimation of Generalized Linear Models

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

  Date: February 27, 2017

• 17-022/III - Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

  Authors: Jinghui Chen, Yokohama National University, Japan; Masahito Kobayashi, Yokohama National University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: February 13, 2017

• 17-017/III - Forecasting the Volatility of Nikkei 225 Futures

  Authors: Manabu Asai, Soko University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain

  Date: January 30, 2017

• 17-015/III - The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

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

  Date: March 07, 2018

• 17-014/III - Theravada Buddhism and Thai Luxury Fashion Consumption

  Authors: Mao Ning, Dhurakij Pundit University Bangkok, Thailand; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: January 23, 2017

• 17-013/III - A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

  Authors: David E. Allen, University of South Australia, University of Sydney, and Edith Cowan University, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Compultense University of Madrid, Spain; Yokohama National University, Japan; Abhay K. Singh, Edith Cowan University, Australia

  Date: January 23, 2017

• 16-107/III - A Bayesian Infinite Hidden Markov Vector Autoregressive Model

  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: December 06, 2016

• 16-105/III - The Dynamic Factor Network Model with an Application to Global Credit-Risk

  Authors: Falk Bräuning, Federal Reserve Bank of Boston, United States; Siem Jan Koopman, VU University Amsterdam, The Netherlands

  Date: November 28, 2016

• 16-104/III - Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

  Authors: Anastasios Zopiatis, Cyprus University of Technology, Cyprus; Christos S. Savva, Cyprus University of Technology, Cyprus; Neophytos Lambertides, Cyprus University of Technology, Cyprus; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan

  Date: November 25, 2016

• 16-099/III - Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

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

  Date: November 17, 2016

• 16-094/III - A Simple Test for Causality in Volatility

  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, Yokohama National University, Japan

  Date: November 07, 2016

• 16-084/III - Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

  Authors: David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan; Robert Powell, Edith Cowan University, Perth, Australia; Abhay K. Singh, Edith Cowan University, Perth, Australia

  Date: October 14, 2016