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Research Output 2000 2014

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Article
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
2012

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

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, In : Journal of Statistical Software. 41, 13, p. 1-24

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
File
2007

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

Currency
Central bank intervention
Exchange rates
Central bank
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

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

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
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