Nalan Basturk

Maastricht University - Department of Quantitative Economics

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

14

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CITATIONS
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9

Scholarly Papers (14)

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 199 (151,502)

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

2.

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 126 (223,230)
Citation 2

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

3.

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 94 (274,280)
Citation 2

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

4.

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 76 (312,517)

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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 50 (392,470)

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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 16 (562,380)

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

6.

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, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 64 (343,184)

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History, Bayesian Econometrics

7.

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 64 (343,184)

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

8.

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, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 36 (438,023)

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

9.

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 33 (450,679)

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forecast combination, momentum strategy, filtering methods, Bayes estimates

10.

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 30 (464,572)

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Growth, Time varying parameters, Expectations data.

11.

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 29 (469,320)

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

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, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 26 (484,765)
Citation 5

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New Keynesian Phillips curve, unobserved components, time varying parameters, level shifts, inflation expectations, survey 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 12 (589,201)

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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 7 (623,728)

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14.

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 19 (524,530)

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