Charles S. Bos

VU University Amsterdam

De Boelelaan 1105

1081 HV Amsterdam

Netherlands

http://personal.vu.nl/c.s.bos

SCHOLARLY PAPERS

15

DOWNLOADS
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1,520

SSRN CITATIONS
Rank 22,818

SSRN RANKINGS

Top 22,818

in Total Papers Citations

9

CROSSREF CITATIONS

22

Scholarly Papers (15)

1.
Downloads 261 (116,856)
Citation 3

Does the Canadian Economy Suffer from Dutch Disease?

Number of pages: 30 Posted: 02 Feb 2009
Michel A. R. Beine, Charles S. Bos and Serge Coulombe
University of Luxemburg, VU University Amsterdam and University of Ottawa - Department of Economics
Downloads 155 (190,466)
Citation 2

Abstract:

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Dutch disease, Natural resources, Exchange rates, Currency components, Bayesian Econometrics

Does the Canadian Economy Suffer from Dutch Disease?

Tinbergen Institute Discussion Paper 09-096/4
Number of pages: 36 Posted: 13 Nov 2009
Michel A. R. Beine, Charles S. Bos and Serge Coulombe
University of Luxemburg, VU University Amsterdam and University of Ottawa - Department of Economics
Downloads 106 (256,088)
Citation 4

Abstract:

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Dutch disease, Natural resources, Exchange rates, Currency components, Bayesian econometrics

2.

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Tinbergen Institute Discussion Paper No. TI 02-113/4
Number of pages: 34 Posted: 06 Jan 2003
Siem Jan Koopman and Charles S. Bos
Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 255 (119,753)

Abstract:

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Autoregressive integrated moving average, Importance sampling, Industrial production, Inflation, Kalman filter, Monte Carlo simulation, Simulation smoothing, State space, Stochastic volatility, Unobserved components time series

3.

A Comparison of Marginal Likelihood Computation Methods

Tinbergen Institute Working Paper No. 2002-084/4
Number of pages: 8 Posted: 03 Nov 2002
Charles S. Bos
VU University Amsterdam
Downloads 202 (150,329)
Citation 2

Abstract:

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Marginal likelihood, Bayesian analysis

4.

Dynamic Correlations and Optimal Hedge Ratios

Tinbergen Institute Discussion Paper No. 2007-025/4
Number of pages: 22 Posted: 27 Feb 2007
Charles S. Bos and Phillip Gould
VU University Amsterdam and Free University of Amsterdam
Downloads 156 (189,115)

Abstract:

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Dynamic correlation, multivariate GARCH, stochastic volatility, hedge ratio

The Impact of Central Bank FX Interventions on Currency Components

Tinbergen Institute Discussion Paper No. 2005-103/4
Number of pages: 34 Posted: 11 Nov 2005
University of Luxemburg, VU University Amsterdam and AMSE
Downloads 153 (192,611)
Citation 4

Abstract:

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Central Bank interventions, Foreign Exchange Markets, Stochastic Volatility, Bayesian Estimation

The Impact of Central Bank Fx Interventions on Currency Components

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 154-183, 2007
Posted: 16 Jun 2008
University of Luxemburg, VU University Amsterdam and AMSE

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Central bank interventions, currency components, foreign exchange, Markov chain Monte Carlo, stochastic volatility, structural time series models

6.

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form

Tinbergen Institute Discussion Paper No. 04-015/4
Number of pages: 32 Posted: 08 Jun 2004
Charles S. Bos and Neil Shephard
VU University Amsterdam and Harvard University
Downloads 120 (232,949)
Citation 5

Abstract:

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Markov chain Monte Carlo, particle filter, cubic spline, state space form, stochastic volatility

7.

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Tinbergen Institute Discussion Paper No. 2007-099/4, CREATES Research Paper No. 2007-44
Number of pages: 29 Posted: 11 Jan 2008
Charles S. Bos, Siem Jan Koopman and Marius Ooms
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam - Department of Econometrics
Downloads 93 (277,862)
Citation 16

Abstract:

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Time varying parameters, Importance sampling, Monte Carlo simulation, Stochastic Volatility, Fractional Integration

8.

Models with Time-Varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

Tinbergen Institute Discussion Paper 10-017/4
Number of pages: 22 Posted: 06 Feb 2010
Charles S. Bos and Siem Jan Koopman
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 89 (285,743)

Abstract:

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Common stochastic variance, Kalman filter, State space model, unobserved components time series model

9.

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing

Tinbergen Institute Discussion Paper 09-110/4
Number of pages: 35 Posted: 07 Dec 2009
Charles S. Bos, Pawel Janus and Siem Jan Koopman
VU University Amsterdam, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 87 (289,893)
Citation 3

Abstract:

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high frequency, intraday periodicity, jump testing, leverage effect, microstructure noise, pre-averaged bipower variation, spot variance

10.

Relating Stochastic Volatility Estimation Methods

Tinbergen Institute Discussion Paper No. 11-049/4
Number of pages: 28 Posted: 04 Mar 2011
Charles S. Bos
VU University Amsterdam
Downloads 80 (305,010)
Citation 1

Abstract:

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Stochastic Volatility, Estimation, Methodology

11.

A Quantile-Based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

Tinbergen Institute Discussion Paper 13-155/III
Number of pages: 39 Posted: 04 Oct 2013
Charles S. Bos and Pawel Janus
VU University Amsterdam and VU University Amsterdam
Downloads 24 (498,912)

Abstract:

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Finite activity jumps, higher order moments, order statistics, outliers, realized variation

12.

A Bayesian Analysis of Unobserved Component Models Using Ox

Tinbergen Institute Discussion Paper No. 11-048/4
Posted: 04 Mar 2011
Charles S. Bos
VU University Amsterdam

Abstract:

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State Space Methods, Unobserved Components, Bayes, Stochastic Volatility

13.

Adaptive Radial-Based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods

Journal of Econometrics, Vol. 123, No. 3, pp. 201-225
Posted: 14 Apr 2005
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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Markov chain Monte Carlo, importance sampling, radial coordinates

14.

Time Series Modelling Using Tsmod 3.24

Tinbergen Institute Working Paper No. 2003-091/4
Posted: 03 Jan 2004
Charles S. Bos
VU University Amsterdam

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Time series, software, econometrics

15.

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

Empirical Economics, Vol. 24, No. 3, August 1999
Posted: 23 Sep 1999
Charles S. Bos, Philip Hans Franses and Marius Ooms
VU University Amsterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and VU University Amsterdam - Department of Econometrics

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