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1

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

Ardia, David, Gatarek, Lukasz, Hoogerheide, Lennart, van Dijk, Herman

Journal:

Year:

2016

Language:

english

File:

PDF, 299 KB

english, 2016

2

GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts

Ardia, David, Hoogerheide, Lennart F.

Journal:

Economics Letters

Year:

2014

Language:

english

File:

PDF, 331 KB

english, 2014

3

A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Ardia, David, Guerrouaz, Anas, Hoogerheide, Lennart F.

Journal:

Year:

2016

Language:

english

File:

PDF, 1.97 MB

english, 2016

4

Cross-Sectional Distribution of GARCH Coefficients Across S&P 500 Constituents: Time-Variation Over the Period 2000-2012

Ardia, David, Hoogerheide, Lennart F.

Journal:

Year:

2013

Language:

english

File:

PDF, 30.42 MB

english, 2013

5

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

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 148 KB

english, 2013

6

Partially censored posterior for robust and efficient risk evaluation

Borowska, Agnieszka, Hoogerheide, Lennart, Koopman, Siem Jan, van Dijk, Herman K.

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 649 KB

2020

7

Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?

Lennart F. Hoogerheide, David Ardia, Nienke Corré

Journal:

Economics Letters

Year:

2012

Language:

english

File:

PDF, 199 KB

english, 2012

8

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

Gatarek, Lukasz T., Hoogerheide, Lennart F., van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2014

File:

PDF, 172 KB

2014

9

Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling

Lennart Hoogerheide, Herman K. van Dijk

Journal:

International Journal of Forecasting

Year:

2010

Language:

english

File:

PDF, 1.33 MB

english, 2010

10

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

Barra, István, Hoogerheide, Lennart, Koopman, Siem Jan, Lucas, André

Journal:

Journal of Applied Econometrics

Year:

2016

Language:

english

File:

PDF, 376 KB

english, 2016

11

Comment

Hoogerheide, Lennart, Ravazzolo, Francesco, van Dijk, Herman K.

Journal:

Journal of Business and Economic Statistics

Year:

2012

Language:

english

File:

PDF, 210 KB

english, 2012

12

Worldwide Equity Risk Forecasting with GARCH Models

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 195 KB

english, 2012

13

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

Zellner, Arnold, Ando, Tomohiro, Baştürk, Nalan, Hoogerheide, Lennart, van Dijk, Herman K.

Journal:

Econometric Reviews

Year:

2014

Language:

english

File:

PDF, 995 KB

english, 2014

14

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks

Lennart F. Hoogerheide, Johan F. Kaashoek, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 1010 KB

english, 2007

15

Worldwide equity risk prediction

Ardia, David, Hoogerheide, Lennart F.

Journal:

Applied Economics Letters

Year:

2013

Language:

english

File:

PDF, 123 KB

english, 2013

16

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Ardia, David, Bluteau, Keven, Hoogerheide, Lennart F.

Journal:

Journal of Time Series Econometrics

Language:

english

File:

PDF, 151 KB

english

17

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Basturk, Nalan, Borowska, Agnieszka, Grassi, Stefano, Hoogerheide, Lennart F., van Dijk, Herman K.

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 3.33 MB

english, 2018

18

Are Education and Entrepreneurial Income Endogenous? A Bayesian Analysis

Block, Joern H., Hoogerheide, Lennart, Thurik, Roy

Journal:

Entrepreneurship Research Journal

Year:

2012

Language:

english

File:

PDF, 665 KB

english, 2012

19

Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

Hoogerheide, Lennart F., van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 1.97 MB

english, 2008

20

Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

Lennart Hoogerheide, Richard Kleijn, Francesco Ravazzolo, Herman K. Van Dijk, Marno Verbeek

Journal:

Journal of Forecasting

Year:

2010

Language:

english

File:

PDF, 440 KB

english, 2010

21

Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data

Lennart Hoogerheide, Frank Kleibergen, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 636 KB

english, 2007

22

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

Zellner, Arnold, Ando, Tomohiro, Basturk, Nalan, Hoogerheide, Lennart F., van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.85 MB

english, 2012

23

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

Basturk, Nalan, Hoogerheide, Lennart F., van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 4.84 MB

english, 2017

24

Are Education and Entrepreneurial Income Endogenous? A Bayesian Analysis

Block, Joern Hendrich, Hoogerheide, Lennart F., Thurik, Roy

Journal:

SSRN Electronic Journal

Year:

2010

File:

PDF, 259 KB

2010

25

Family Background Variables as Instruments for Education in Income Regressions: A Bayesian Analysis

Hoogerheide, Lennart F., Block, Joern Hendrich, Thurik, Roy

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 190 KB

english, 2010

26

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

Hoogerheide, Lennart F., Opschoor, Anne, van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.30 MB

english, 2011

27

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Basturk, Nalan, Borowska, Agnieszka, Grassi, Stefano, Hoogerheide, Lennart F., van Dijk, Herman K.

Journal:

SSRN Electronic Journal

Year:

2018

File:

PDF, 3.33 MB

2018

28

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Lennart Hoogerheide, Anne Opschoor, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 1.31 MB

english, 2012

29

Density Prediction of Stock Index Returns Using GARCH Models: Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F., Ardia, David, Corré, Nienké

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 278 KB

english, 2011

30

A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood

David Ardia, Nalan Baştürk, Lennart Hoogerheide, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2012

Language:

english

File:

PDF, 2.05 MB

english, 2012

31

Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012

Ardia, David, Hoogerheide, Lennart F.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 648 KB

english, 2013

32

Family background variables as instruments for education in income regressions: A Bayesian analysis

Lennart Hoogerheide, Joern H. Block, Roy Thurik

Journal:

Economics of Education Review

Year:

2012

Language:

english

File:

PDF, 389 KB

english, 2012

33

Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM

Baştürk, Nalan, Grassi, Stefano, Hoogerheide, Lennart, van Dijk, Herman

Journal:

Year:

2016

Language:

english

File:

PDF, 1.86 MB

english, 2016

34

Possibly Ill-Behaved Posteriors in Econometric Models

Hoogerheide, Lennart F., van Dijk, H. K.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 2.95 MB

english, 2008

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