.
Hoogerheide, Lennart F.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 1,771
Total Citations 54
1.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
26 Jan 10
Last Revised:
08 Apr 11
267(55,007)
2
GARCH, Bayesian inference, MCMC, marginal likelihood, Bayesian model averaging, adaptive mixture of Student-t distributions, importance sampling
2.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
21 Sep 09
Last Revised:
16 Apr 11
178(83,593)
1
GARCH, Bayesian, MCMC, Student-t, R software
3.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Oest, R.D. van Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
172(86,407)
4
4.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
166(89,268)
8
Value at Risk, Expected Shortfall, numerical accuracy, numerical standard error, importance sampling, mixture of Student-t distributions, variance reduction technique
5.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Kleijn, Richard affiliation not provided to SSRN
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Verbeek, Marno Erasmus University - Rotterdam School of Management
121(117,201)
6
forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle
6.
Block, Joern University of Trier - Faculty of Management
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Thurik, Roy Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Posted:
14 Oct 09
Last Revised:
20 Apr 13
112(124,482)
3
Occupational choice, entrepreneurial choice, education, self-employment, endogeneity, instrumental variables, entrepreneurship
7.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
23 Jun 08
Last Revised:
08 Apr 11
94(140,919)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
8.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
79(157,447)
value-at-Risk, backtest, optimal revision, forecast rationality
9.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
26 Feb 09
Last Revised:
30 Jul 12
65(176,183)
1
marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions
10.
Block, Joern University of Trier - Faculty of Management
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Thurik, Roy Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Posted:
20 Mar 10
Last Revised:
23 Mar 12
64(177,658)
Education, income, entrepreneurship, self-employment, endogeneity, instrumental variables, Bayesian analysis
11.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
23 May 12
Last Revised:
15 Aug 12
57(190,024)
GARCH, value-at-risk, equity, worldwide
12.
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
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Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
27 Feb 13
Last Revised:
21 Mar 13
53(195,093)
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
23
GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, false discovery rate
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Posted:
27 Feb 13
Last Revised:
03 Mar 13
30
GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, estimation, false discovery rate
13.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
kaashoek, Johan F. Erasmus University Rotterdam (EUR)
van Dijk, H. K. Tinbergen Institute
49(202,114)
16
instrumental variables, reduced rank, importance sampling, Markov chain Monte Carlo, neural networks, Bayesian inference, credible sets
14.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
45(209,612)
2
Mixture of Student-T Distributions, Importance Sampling, Kullback-Leibler Divergence, Expectation Maximization, Metropolis-Hastings Algorithm, Predictive Likelihoods, Mixture GARCH Models, Value at Risk
15.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
44(211,610)
3
instrumental variables, vector error correction model, mixture model, importance sampling, Markov chain Monte Carlo, neural network
16.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
40(221,781)
GARCH, GJR, equity, leverage effect, S&P 500 universe
17.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Block, Joern University of Trier - Faculty of Management
Thurik, Roy Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Posted:
15 Aug 10
Last Revised:
05 Jan 13
37(226,124)
education, family background variables, earnings, income, instrumental variables, Bayesian analysis
18.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
16 Jun 10
Last Revised:
08 Apr 11
34(233,028)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
19.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
31(240,458)
1
mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables
20.
Gatarek, Lukasz T. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Hooning, Koen Delft University of Technology
van Dijk, H. K. Tinbergen Institute
26(257,979)
censored likelihood, censored posterior, censored predictive likelihood, Bayesian Model Averaging, Value at Risk, Metropolis-Hastings algorithm
21.
Basturk, Nalan Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
14(296,428)
finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software
22.
Zellner, Arnold University of Chicago, Booth School of Business (Deceased)
Ando, Tomohiro Keio University - Graduate School of Business Administration
Basturk, Nalan Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
12(303,476)
1
Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors
23.
Barra, Istvan VU University Amsterdam
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
11(306,905)
nonlinear non-Gaussian state space model, Bayesian inference, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions
24.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Ardia, David Laval University - Département de Finance et Assurance
Corré, Nienké affiliation not provided to SSRN
Posted:
20 Jan 11
Last Revised:
01 May 12
GARCH, Bayesian, KLIC, censored likelihood
