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Research Output 2000 2014

2014

Long memory with stochastic variance model: A resursive analysis for U.S. inflation

Bos, C. S., Koopman, S. J. & Ooms, M., 2014, In : Computational Statistics and Data Analysis. 76, August, p. 144-157

Research output: Contribution to JournalArticleAcademicpeer-review

Long Memory
Inflation
Time series
Data storage equipment
Volatility
2013

A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

Bos, C. S. & Janus, P., 2013, Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper; no. 13-155/III).

Research output: Working paperProfessional

2012

Developments in Measuring and Modeling Financial Volatility

Janus, P., 2012, Amsterdam: Thela Thesis/TI.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

Does the Canadian economy suffer from Dutch disease?

Beine, M., Bos, C. S. & Coulombe, S., 2012, In : Resource and Energy Economics. 34, 4, p. 468-492

Research output: Contribution to JournalArticleAcademicpeer-review

Dutch disease
Currency
Canada
Manufacturing
Exchange rates

Relating stochastic volatility estimation methods

Bos, C. S., 2012, Relating stochastic volatility estimation methods. Bauwens, L., Hafner, C. M. & Laurent, S. (eds.). New York: Wiley, p. 147-174

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, C. S., Janus, P. & Koopman, S. J., 2012, In : Journal of Financial Econometrics. 10, 2, p. 354-389

Research output: Contribution to JournalArticleAcademicpeer-review

Testing
Jump
Microstructure noise
Sampling
Nonparametric methods
2011

A Bayesian analysis of unobserved component models using ox

Bos, C. S., 2011, Amsterdam: Tinbergen Institute, 1 p. (TI Discussion Papers; no. 11-048/4).

Research output: Working paperProfessional

File

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, C. S., 2011, In : Journal of Statistical Software. 41, 13, p. 1-24

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
File

Relating stochastic volatility estimation methods

Bos, C. S., 2011, Amsterdam: Tinbergen Institute, 28 p. (TI Discussion Papers; no. 11-049/4).

Research output: Working paperProfessional

File
2010

Models with time-varying mean and variance: A robust analysis of US industrial production

Bos, C. S. & Koopman, S. J., 2010, Amsterdam: Tinbergen Instituut (TI), 22 p. (TI Discussion Papers Series; no. 10-017/4).

Research output: Working paperProfessional

File
2009

Does the Canadian economy suffer from Dutch disease?

Beine, M., Bos, C. S. & Coulombe, S., 2009, Amsterdam: Tinbergen Instituut (TI), 36 p. (TI Discussion Papers Series; no. TI 09-096/4).

Research output: Working paperProfessional

File

Spot variance path estimation and its application to high frequency jump testing

Bos, C. S., Janus, P. & Koopman, S. J., 2009, Amsterdam: Tinbergen Instituut (TI), 35 p. (TI Discussion Papers Series; no. 09-110/4).

Research output: Working paperProfessional

File
2007

Dynamic Correlations and Optimal Hedge Ratios

Bos, C. S. & Gould, P. G., 2007, Amsterdam: Tinbergen Instituut (TI), (TI Discussion Paper; no. 07-025/4).

Research output: Working paperProfessional

File

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C. S., Ooms, M. & Koopman, S. J., 2007, Amsterdam: Tinbergen Instituut (TI), 27 p. (TI discussion paper; no. 2007-099/4).

Research output: Working paperProfessional

File

The Impact of Central Bank FX Interventions on Currency Components

Beine, M., Bos, C. S. & Laurent, S., 2007, In : Journal of Financial Econometrics. 5, 1, p. 154-183

Research output: Contribution to JournalArticleAcademic

Central bank intervention
Currency
Central bank
Exchange rates
2006

Inference for adaptive Time series Models: Stochastic Volatility and Conditionally

Bos, C. S. & Shephard, N., 2006, In : Econometric Reviews. 25, 2-3, p. 219-244

Research output: Contribution to JournalArticleAcademic

Inference
Stochastic volatility
Factors
Time series models
Markov chain Monte Carlo
2005

On model selection criteria as a starting point for sequential detection of non-linearity

Bos, C. S. & Justel, A., 2005, In : International Journal of Forecasting. 21, 4, p. 749-754

Research output: Contribution to JournalArticleAcademic

Ox programming and Bayes

Bos, C. S., 2005, In : ISBA Bulletin. 11, 4 p.

Research output: Contribution to JournalArticleProfessional

The impact of Central Bank FX interventions on currency components

Bos, C. S., Beine, M. & Laurent, S., 2005, Amsterdam: Tinbergen Instituut (TI), 32 p. (TI Discussion Paper; no. 05/103-4).

Research output: Working paperProfessional

File
2004

Adaptive Radial-based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods

Bos, C. S., Bauwens, L. J., van Dijk, H. K. & van Oest, R. D., 2004, In : Journal of Econometrics. 123, 2, p. 201-225 25 p.

Research output: Contribution to JournalArticleAcademic

Monte Carlo integration
Sampling
Importance sampling
Covariance matrix
Mixture model

State space models with a common stochastic variance

Koopman, S. J. & Bos, C. S., 2004, In : Journal of Business and Economic Statistics. 22, 3, p. 346-357 11 p.

Research output: Contribution to JournalArticleAcademic

State-space Model
estimation procedure
Simultaneous Estimation
Stochastic Volatility Model
Maximum Likelihood Method

Time Series Modelling using TSMod 3.24

Bos, C. S., 2004, In : International Journal of Forecasting. 20, 3, p. 515-522 8 p.

Research output: Contribution to JournalArticleAcademic

2003

Adaptive radial-based direction sampling: Some flexible and robust Monte Carlo integration methods

Bos, C. S., Bauwens, L. J., van Dijk, H. K. & van Oest, R. D., 2003, Rotterdam: Econometrie (ECTRIE), 22 p. (Erasmus Universiteit Rotterdam; no. EI2003-32).

Research output: Working paperProfessional

Explaining Adaptive Radial-based Direction Sampling

Bos, C. S., Bauwens, L. J., van Dijk, H. K. & van Oest, R. D., 2003, JSM 2003 Proceedings. Alexandria(US): American Statistical Association, 8 p.

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademic

Inflation, Forecast Intervals and Long Memory Regression Models

Ooms, M., Bos, C. S. & Franses, P. H., 2003, In : International Journal of Forecasting. 18, 2, p. 243-264 21 p.

Research output: Contribution to JournalArticleAcademic

Long memory
Regression model
Inflation forecasts
Interval forecasts
Price level

Time Series Modelling using TSMod 3.24

Bos, C. S., 2003, Amsterdam: Tinbergen Instituut (TI), 10 p. (Tinbergen Discussion Papers; no. 03-091/4).

Research output: Working paperProfessional

File
2002

A Comparison of Marginal Likelihood Computation Methods

Bos, C. S., 2002, Amsterdam: Tinbergen Institute, 8 p. (TI Discussion Paper; no. TI02-084/4).

Research output: Working paperProfessional

File

Time series models with a common stochastic variance for analysing economic time series

Koopman, S. J. & Bos, C. S., 2002, Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper; no. TI02-113/4).

Research output: Working paperProfessional

File
2001

Time Varying Parameter Models for Inflation and Exchange Rates

Bos, C. S., 2001, Rotterdam: Tinbergen Instituut. 165 p.

Research output: PhD ThesisPhD Thesis - Research external, graduation externalAcademic

2000

Daily exchange rate behaviour and hedging of currency risk

Bos, C. S., Mahieu, R. J. & Van Dijk, H. K., 2000, In : Journal of Applied Econometrics. 15, 6, p. 671-696 26 p.

Research output: Contribution to JournalArticleAcademicpeer-review

currency
risk management
rate of exchange
time series
decision maker