Enrique ter Horst

Universidad de los Andes, Colombia - School of Business Administration

Bogota

Colombia

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

The GARCH Structural Credit Risk Model: Simulation Analysis and Application to the Bank CDS Market During the 2007-2008 Crisis

Number of pages: 26 Posted: 24 Mar 2009
Samuel W. Malone, Abel Rodriguez and Enrique ter Horst
University of the Andes, University of California, Santa Cruz and Universidad de los Andes, Colombia - School of Business Administration
Downloads 621 (64,041)
Citation 1

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2.

The Black Market for Dollars in Venezuela

Number of pages: 17 Posted: 22 Dec 2008
Samuel W. Malone and Enrique ter Horst
University of the Andes and Universidad de los Andes, Colombia - School of Business Administration
Downloads 610 (65,512)

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Black market, exchange rates, Venezuela, capital controls

3.

Timing Foreign Exchange Markets

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 44 Posted: 02 Oct 2012 Last Revised: 14 Apr 2014
Samuel W. Malone, Robert Gramacy and Enrique ter Horst
University of the Andes, University of Chicago - Booth School of Business and Universidad de los Andes, Colombia - School of Business Administration
Downloads 592 (68,074)

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foreign exchange, speculation, Bayesian treed Gaussian process, Anatolyev-Gerko statistic

4.

A Micro-Based Model for World Oil Market

Number of pages: 56 Posted: 13 Jun 2017
Inter-American Development Bank (IDB), Inter-American Development Bank (IDB), Universidad de los Andes, Colombia - School of Business Administration, Inter-American Development Bank (IDB)Instituto de Estudios Superiores de Administración (IESA) - Centro Internacional de Energía y Ambiente, Idalion Capital US LP and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 186 (235,775)

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5.

A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

Number of pages: 42 Posted: 21 Jun 2015
Roberto Casarin, German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics, Idalion Capital US LP and Universidad de los Andes, Colombia - School of Business Administration
Downloads 131 (314,006)

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Bayesian Inference, Cubic Smoothing Splines, Dynamic Linear Models, Nonparametric Risk-Neutral Densities, Smoothing Parameter Estimation

6.

Multilayer Network Analysis of Oil Linkages

Number of pages: 32 Posted: 01 Nov 2018
University Ca' Foscari of Venice - Department of Economics, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP, Inter-American Development Bank (IDB), Independent and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (334,804)
Citation 1

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Bayesian Graphical Models, Dynamic Multilayer Network analysis, Rigs, Pro- duction, Granger Causality, Oil Linkages

7.

Heard It Through the Grapevine! How Peer-to-Peer Interaction Affects Customer Experience and Word-of-Mouth Intention in Different Service Environments: A Bayesian Approach

Number of pages: 45 Posted: 16 Nov 2017
CESA, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP, CESA and Independent
Downloads 114 (347,179)

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Customer Experience, Bayesian Statistics

8.

A Bayesian Dynamic Hedonic Regression Model for Art Prices

Number of pages: 29 Posted: 07 Feb 2019
Urbi Garay, Gavino Puggioni, German Molina and Enrique ter Horst
Instituto de Estudios Superiores de Administración (IESA), affiliation not provided to SSRN, Idalion Capital US LP and Universidad de los Andes, Colombia - School of Business Administration
Downloads 103 (371,979)

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Art Returns, Hedonic Regression Model, Bayesian Analysis, Alternative Investments

9.

Assets' Dependence Structure Implications for Portfolio Insurance

Number of pages: 27 Posted: 26 Sep 2018
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP and Independent
Downloads 82 (428,967)
Citation 1

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tracking error, extreme risk management, copulas, portfolio insurance

10.

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Ca' Foscari University of Venice Department of Economics Working Paper No. 22/WP/2014
Number of pages: 28 Posted: 09 Dec 2014
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Idalion Capital US LP and Universidad de los Andes, Colombia - School of Business Administration
Downloads 40 (600,545)

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Bayesian inference, Beta random fields, Exchange Metropolis Hastings, Markov chain Monte Carlo, Risk neutral measure

11.

Risk Neutral Measure Determination from Price Ranges: Single Period Market Models.

Number of pages: 21 Posted: 08 May 2017
Henryk Gzyl, Enrique ter Horst and German Molina
IESA, Universidad de los Andes, Colombia - School of Business Administration and Idalion Capital US LP
Downloads 35 (629,023)

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Risk neutral measures, maximum entropy with errors in the data, bid-ask prices

12.

Topics and Methods in Economics, Finance, and Business Journals: A Content Analysis Enquiry

Number of pages: 27 Posted: 16 Dec 2018
Fundación Universitaria Konrad Lorenz, Universidad de los Andes, CESA School of Business, Universidad de los Andes, Colombia - School of Business Administration and CESA School of Business
Downloads 22 (720,998)

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Publish or perish, topics and methods, economics, finance, business and management

13.

Measuring Expectations in Options Markets: An Application to the S&P500 Index

Posted: 22 Dec 2008
Abel Rodriguez and Enrique ter Horst
University of California, Santa Cruz and Universidad de los Andes, Colombia - School of Business Administration

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Nonparametric Bayes, Dependent Dirichlet process, European Options, Implied Prices