Nalan Basturk

Maastricht University - Department of Quantitative Economics

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

16

DOWNLOADS

1,192

SSRN CITATIONS

2

CROSSREF CITATIONS

9

Scholarly Papers (16)

1.

Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

Tinbergen Institute Discussion Paper 16-099/III
Number of pages: 44 Posted: 22 Nov 2016
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam and Tinbergen Institute
Downloads 222 (194,870)

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nonlinear, non-gaussian state space, filters, density combinations, bayesian modeling, equity momentum

2.

A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility

Number of pages: 31 Posted: 03 Jul 2021 Last Revised: 21 Jun 2022
Nalan Basturk, Peter C. Schotman and Hugo Schyns
Maastricht University - Department of Quantitative Economics, Maastricht University - Department of Finance and Maastricht University - School of Business & Economics - Department of Finance
Downloads 149 (275,332)

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Neural Network, Value-at-Risk, Volatility Models, Equity Returns, Risk Management

3.

Structural Differences in Economic Growth

Tinbergen Institute Discussion Paper No. 2008-085/4
Number of pages: 40 Posted: 19 Sep 2008
Nalan Basturk, Richard Paap and Dick J. C. van Dijk
Maastricht University - Department of Quantitative Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 134 (299,228)
Citation 3

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Economic growth, parameter heterogeneities, latent class models, panel time series

4.

The R Package Mitlsem: Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Tinbergen Institute Discussion Paper TI 12-096/III
Number of pages: 32 Posted: 22 Sep 2012
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 106 (353,882)
Citation 3

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finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software

5.

On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Tinbergen Institute Discussion Paper 14-085/III
Number of pages: 63 Posted: 09 Jul 2014
Maastricht University - Department of Quantitative Economics, Koc University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 84 (409,587)
Citation 2

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History, Bayesian Econometrics

The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Tinbergen Institute Discussion Paper 15-042/III
Number of pages: 43 Posted: 31 Mar 2015 Last Revised: 08 Jul 2017
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 59 (501,806)

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finite mixtures, Student-t densities, importance sampling, MCMC, Metropolis-Hastings algorithm, expectation maximization, Bayesian inference, R-software

The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference

Norges Bank Working Paper 10/2017
Number of pages: 43 Posted: 19 Jul 2017
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 21 (728,137)

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finite mixtures, Student-t densities, importance sampling, MCMC, MetropolisHastings algorithm, expectation maximization, Bayesian inference, R software

7.

Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Tinbergen Institute Discussion Paper 13-191/III
Number of pages: 49 Posted: 06 Dec 2013
Maastricht University - Department of Quantitative Economics, Department of Economicsaffiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 76 (433,942)

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History, Bayesian Econometrics

8.

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

Tinbergen Institute Discussion Paper 12-098/III
Number of pages: 35 Posted: 27 Sep 2012
University of Chicago, Booth School of Business (Deceased), University of Melbourne - Melbourne Business School, Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 73 (443,568)

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Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors

9.

Estimation of Flexible Fuzzy GARCH Models for Conditional Density Estimation

ERIM Report Series Reference No. ERS-2013-13-LIS
Number of pages: 33 Posted: 01 Aug 2013
Erasmus University Rotterdam (EUR) - Department of Econometrics, Maastricht University - Department of Quantitative Economics, Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science and Technical University of Lisbon (UTL) - School of Economics and Management
Downloads 47 (546,164)

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Linguistic descriptions, Volatility forecasting, Conditional density estimation, Fuzzy GARCH models

10.

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Tinbergen Institute Discussion Paper 2018-076/III
Number of pages: 53 Posted: 04 Nov 2018
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, University of Rome Tor Vergata, VU University Amsterdam and Tinbergen Institute
Downloads 44 (560,716)
Citation 1

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forecast combination, momentum strategy, filtering methods, Bayes estimates

11.

Posterior-Predictive Evidence on US Inflation Using Phillips Curve Models with Non-Filtered Time Series

Tinbergen Institute Discussion Paper 13-011/III
Number of pages: 33 Posted: 11 Jan 2013
Maastricht University - Department of Quantitative Economics, Department of Economicsaffiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 41 (576,088)

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New Keynesian Phillips curve, unobserved components, level shifts, inflation expectations

12.

Posterior-Predictive Evidence on US Inflation Using Extended New Keynesian Phillips Curve Models with Non-Filtered Data

Tinbergen Institute 13-090/III
Number of pages: 71 Posted: 18 Jul 2013 Last Revised: 03 Apr 2014
Maastricht University - Department of Quantitative Economics, Department of Economicsaffiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 37 (597,563)
Citation 5

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New Keynesian Phillips curve, unobserved components, time varying parameters, level shifts, inflation expectations, survey data

13.

Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data

Tinbergen Institute Discussion Paper 14-119/III
Number of pages: 37 Posted: 03 Sep 2014
Nalan Basturk, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 34 (614,852)

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Growth, Time varying parameters, Expectations data.

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

Tinbergen Institute Discussion Paper No. 17-058/III
Number of pages: 91 Posted: 29 Jun 2017
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 20 (736,928)

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Bayesian Analysis, Reduced Rank, Lasso Priors, Shrinkage, Bayesian Mixtures

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

Norges Bank Working Paper 11/17
Number of pages: 91 Posted: 08 Sep 2017
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 11 (824,174)

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15.

Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM

Tinbergen Institute Discussion Paper 16-005/III
Number of pages: 26 Posted: 25 Jan 2016
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam and Tinbergen Institute
Downloads 22 (697,999)

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finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference

16.

Bayes estimates of multimodal density features using DNA and Economic Data

Tinbergen Institute Discussion Paper 2021-017/III
Number of pages: 33 Posted: 18 Feb 2021
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 12 (784,796)

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Multimodality, mixtures, Markov Chain Monte Carlo, Bayesian Inference