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Research Output 2007 2019

  • 24 Article
  • 17 Working paper
  • 4 Chapter
  • 2 PhD Thesis - Research VU, graduation VU
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Working paper
2018

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Basturk, N., Borowska, A., Grassi, S., Hoogerheide, L. F. & van Dijk, H. H. K. ., 2018, Amsterdam: Tinbergen Institute, 53 p. (TI Discussion Paper Series; vol. 18-076/III).

Research output: Working paperAcademic

Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions

Hoogerheide, L. F. & van Dijk, H. H. K. ., 2018, Amsterdam: Tinbergen Institute, 9 p. (TI Discussion Paper Series; vol. 18-063/III).

Research output: Working paperAcademic

2017

Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

Basturk, N., Hoogerheide, L. F. & van Dijk, H. K., 2017, Amsterdam: Tinbergen Institute, 91 p. (TI Discussion Paper Series; vol. 17, no. 058/III).

Research output: Working paperProfessional

2016

Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Basturk, N., Grassi, S., Hoogerheide, L. F. & van Dijk, H. K., 2016, Amsterdam: Tinbergen Institute, 26 p. (TI Discussion Paper; no. 16-005/III).

Research output: Working paperProfessional

Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

Basturk, N., Grassi, S., Hoogerheide, L. F. & van Dijk, H. K., 2016, Amsterdam: Tinbergen Institute, 44 p. (TI Discussion Papers; no. 99/III).

Research output: Working paperProfessional

2015

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, N., Grassi, S., Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2015, Amsterdam: Tinbergen Institute, 42 p. (TI Discussion Paper; no. 15-042/III).

Research output: Working paperProfessional

2014

A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

Ardia, D., Gatarek, L. & Hoogerheide, L. F., 2014, Amsterdam: Tinbergen Institute, 27 p. (TI Discussion Paper; no. 14-028/III).

Research output: Working paperProfessional

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, I., Hoogerheide, L. F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper; no. 14-118/III).

Research output: Working paperProfessional

Netherlands
finance
school

Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Gatarek, L., Hoogerheide, L. F. & van Dijk, H. K., 2014, Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper; no. 14-39/III).

Research output: Working paperProfessional

2013

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, L., Hoogerheide, L. F., Hooning, K. & van Dijk, H. K., 2013, Amsterdam: Tinbergen Institute, 27 p. (TI Discussion Paper; no. 13-060/III).

Research output: Working paperProfessional

GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, D. & Hoogerheide, L. F., 2013, Amsterdam: Tinbergen Institute, 18 p. (TI Discussion Paper; no. 13-047/III).

Research output: Working paperProfessional

Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models

Barra, I., Hoogerheide, L. F., Koopman, S. J. & Lucas, A., 2013, Amsterdam: Tinbergen Institute, 35 p. (TI Dicsussion Paper; no. 13-050/III).

Research output: Working paperProfessional

2012

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2012, Amsterdam: Tinbergen Institute, 37 p. (TI Discussion Paper; no. 12-026/4).

Research output: Working paperProfessional

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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Zellner, A., Ando, T., Basturk, N., Hoogerheide, L. F. & van Dijk, H. K., 2012, Amsterdam: Tinbergen Institute, 35 p. (TI Discussion Paper; no. 12-098/III).

Research output: Working paperProfessional

File

The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, N., Hoogerheide, L. F., Opschoor, A. & van Dijk, H. K., 2012, Amsterdam: Tinbergen Institute, 32 p. (TI Discussion Paper; no. 12-096/III).

Research output: Working paperProfessional

File
2011
Open Access
File

Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo

Zellner, A., Ando, T., Basturk, N., Hoogerheide, L. F. & van Dijk, H. K., 2011, Amsterdam: Tinbergen Institute, 38 p. (TI Discussion Papers; no. 11-137/4).

Research output: Working paperProfessional

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