Charles S. Bos

VU University Amsterdam

De Boelelaan 1105

1081 HV Amsterdam

Netherlands

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

SCHOLARLY PAPERS

17

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Scholarly Papers (17)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas RITTMANNSBERGER, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Maria Vaduva, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Zhen-Xing Wu, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi and Li Bao
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, affiliation not provided to SSRN, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, affiliation not provided to SSRN, The University of Sydney Business School, University of Technology Sydney, Neoma Business School, HEC Paris, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, affiliation not provided to SSRN, Auburn University, University of St. Gallen, HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Tilburg University - Tilburg University School of Economics and Management, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, University of Toulouse - Toulouse Business School, Monash Business School, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco School of Management, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, University of Southampton - Business School, University of Liège - HEC Management School, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Toulouse School of Economics, Masaryk University, KU Leuven, Department Accounting, Finance and Insurance, Nottingham Trent University - Nottingham Business School, ICHEC Brussels Management School, Erasmus University - Rotterdam School of Management, Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, West Virginia University, College of Business & Economics, Department of Finance, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, USI Lugano, Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia Business School - Finance and Economics, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, Eberhard Karls Universität Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, HEC-ULg University of Liège, Ecole Polytechnique Fédérale de Lausanne, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, WU Wien, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB) - Directorate General Research, Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, School of Business and Economics, VU Amsterdam, University of New Mexico, Cardiff Business School, Saint Joseph University, Columbia Business School, Bank of England, Aalto University, University of Sussex, affiliation not provided to SSRN, Durham University Business School, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University School of Business, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Faculty of Economics and Business Administration, University of Manchester - Manchester Business School, Northwestern University, University of Warwick - Warwick Business School, University of Sydney Business School, University of Orleans, Hong Kong Institute for Monetary and Financial Research, HEC Liège, Management School of the University of Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, affiliation not provided to SSRN, University of Zurich - Department of Banking and Finance, Department of Finance, Aalto University - Department of Finance, La Trobe University, UCSI University, Malaysia, WU, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Universita della Svizzera italiana (USI Lugano), EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Toulouse Business School, New York University (NYU), Department of Economics, Students, RMIT University, Toulouse School of Economics, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, affiliation not provided to SSRN, Copenhagen Business School - Department of Finance, University of Florida - Department of Finance, Insurance and Real Estate, Institute for Management Research, Radboud University Nijmegen, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto - Finance Area, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School - Department of Finance, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU Amsterdam, University of Verona - Department of Economics, University of Toronto - Rotman School of ManagementUniversity of Toronto at Scarborough - Division of Management, Universite du Luxembourg - Department of Finance, Aalto University - School of Business, Queen's University - Smith School of Business, affiliation not provided to SSRN, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, Alliance Manchester Business School, University of Manchester, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, affiliation not provided to SSRN, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, Schulich School of Business, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, University of Geneva GSEM and GFRI, University of Mannheim, University of Manchester - Department of Economics, Leuphana University of Lueneburg, Goethe University Frankfurt - House of Finance, affiliation not provided to SSRN, University of Lausanne, University of Stuttgart, Institute of Business Administration, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), ASU WP Carey School of Business, VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, affiliation not provided to SSRN, University of Zurich, WU Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, affiliation not provided to SSRN, Luxembourg School of Finance, New York University (NYU) - Department of Finance, Aalto University, Eötvös Loránd University, Swansea University - School of Management, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, Catholic University of Milan, Copenhagen Business School - Department of Finance, University Constantin Brancusi of Targu-Jiu, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Essex Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Swiss Finance Institute, University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF)Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg - Luxembourg School of Finance, Department of Finance, School of Business and Economics, Asia University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Zhongnan University of Economics and Law - School of Finance, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University School of Business, VU AmsterdamTinbergen Institute, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, VU University Amsterdam - Department of Finance and Financial Sector Management, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Bank for International Settlements (BIS)Stockholm School of EconomicsStockholm School of Economics - Swedish House of Finance, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management UniversityImperial College Business School, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, Aalto University, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney and University of Toulouse Capitole
Downloads 2,183 (8,926)

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non-standard errors, multi-analyst approach, liquidity

2.

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 306 (127,076)
Citation 2

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Marginal likelihood, Bayesian analysis

3.
Downloads 276 (141,632)
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 157 (239,025)
Citation 2

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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 119 (297,088)
Citation 5

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

4.

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 260 (150,434)

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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

5.

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 160 (234,710)

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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 158 (237,704)
Citation 4

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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

7.

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 122 (290,500)
Citation 6

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

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 96 (342,064)

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

9.

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 94 (346,604)
Citation 16

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

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 92 (351,429)
Citation 2

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Stochastic Volatility, Estimation, Methodology

11.

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 89 (358,776)
Citation 3

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

12.

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 26 (607,383)
Citation 1

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

13.

Market power in California's water market

Tinbergen Institute Discussion Paper 2021-011/VIII
Number of pages: 35 Posted: 18 Feb 2021
Rovira i Virgili University, VU University Amsterdam - Department of Spatial Economics, VU University Amsterdam, Tinbergen InstituteVU University Amsterdam, Department of Econometrics, Montana State University - Bozeman and VU University Amsterdam
Downloads 19 (656,119)

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Water markets, Market power, California, Cournot-Nash

14.

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

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State Space Methods, Unobserved Components, Bayes, Stochastic Volatility

15.

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

Posted: 14 Apr 2005
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Markov chain Monte Carlo, importance sampling, radial coordinates

16.

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

17.

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

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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