Lennart F. Hoogerheide

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

36

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Scholarly Papers (36)

1.

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Rethinking Risk Measurement and Reporting: Examples and Applications from Finance, Vol. II, Chapter 1, Klaus Böcker, eds., RiskBooks, London, 2010
Number of pages: 22 Posted: 26 Jan 2010 Last Revised: 15 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 347 (85,904)

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GARCH, Bayesian inference, MCMC, marginal likelihood, Bayesian model averaging, adaptive mixture of Student-t distributions, importance sampling

2.

Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

Tinbergen Institute Discussion Paper No. TI 2008-092/4
Number of pages: 38 Posted: 03 Oct 2008
Lennart F. Hoogerheide and H. K. van Dijk
VU University Amsterdam and Tinbergen Institute
Downloads 245 (124,886)
Citation 2

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Value at Risk, Expected Shortfall, numerical accuracy, numerical standard error, importance sampling, mixture of Student-t distributions, variance reduction technique

3.

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Tinbergen Institute Discussion Paper 14-039/III
Number of pages: 34 Posted: 26 Mar 2014 Last Revised: 29 Oct 2014
Lukasz T. Gatarek, Lennart F. Hoogerheide and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), VU University Amsterdam and Tinbergen Institute
Downloads 238 (128,572)
Citation 1

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Bayesian analysis; cointegration; linear normalization; orthogonal normalization; pairs trading; statistical arbitrage

4.

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
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam and Tinbergen Institute
Downloads 201 (151,159)

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

5.

Simulation Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances

CORE Discussion Paper No. 2007/15
Number of pages: 61 Posted: 25 Jun 2007
Lennart F. Hoogerheide, H. K. van Dijk and R.D. van Oest
VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 198 (153,347)
Citation 4

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6.

Education and Entrepreneurial Choice: An Instrumental Variables Analysis

International Small Business Journal, Vol. 31(1), pp. 23-33, 2013
Number of pages: 15 Posted: 14 Oct 2009 Last Revised: 20 Apr 2013
Jorn H. Block, Lennart F. Hoogerheide and Roy Thurik
University of Trier - Faculty of Management, VU University Amsterdam and Montpellier Business School
Downloads 179 (168,136)

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Occupational choice, entrepreneurial choice, education, self-employment, endogeneity, instrumental variables, entrepreneurship

7.

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Journal of Time Series Econometrics, Vol. 10, No. 2, pp.1-9, 2018
Number of pages: 14 Posted: 07 Mar 2016 Last Revised: 03 Aug 2018
David Ardia, Keven Bluteau and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and VU University Amsterdam
Downloads 174 (172,445)

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Bootstrap, GARCH, HAC kernel, numerical standard error (NSE), Monte Carlo, Markov chain Monte Carlo (MCMC), spectral density, Value-at-Risk precision

8.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

Tinbergen Institute Discussion Paper 09-061/4
Number of pages: 28 Posted: 17 Jul 2009
VU University Amsterdam, affiliation not provided to SSRN, Free University of Bolzano, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 139 (208,117)
Citation 16

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forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle

9.

Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit

Journal of Statistical Software, Vol. 29, No. 3, pp.1-32, Jan 2009
Number of pages: 32 Posted: 23 Jun 2008 Last Revised: 03 Aug 2018
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 123 (229,061)
Citation 1

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adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

10.

Are Education and Entrepreneurial Income Endogenous? A Bayesian Analysis

Entrepreneurship Research Journal, 2(3), 2012
Number of pages: 21 Posted: 20 Mar 2010 Last Revised: 01 Mar 2014
Jorn H. Block, Lennart F. Hoogerheide and Roy Thurik
University of Trier - Faculty of Management, VU University Amsterdam and Montpellier Business School
Downloads 112 (245,225)

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Education, income, entrepreneurship, self-employment, endogeneity, instrumental variables, Bayesian analysis

11.

Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Tinbergen Institute Discussion Paper 11-131/4
Number of pages: 17 Posted: 20 Sep 2011
Lennart F. Hoogerheide, Francesco Ravazzolo and H. K. van Dijk
VU University Amsterdam, Free University of Bolzano and Tinbergen Institute
Downloads 103 (260,120)
Citation 2

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value-at-Risk, backtest, optimal revision, forecast rationality

12.

Bayesian Risk Forecasting for Long Horizons

Tinbergen Institute Discussion Paper 2019-018/III
Number of pages: 40 Posted: 13 Mar 2019
Agnieszka Borowska, Lennart F. Hoogerheide and Siem Jan Koopman
VU University Amsterdam, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 95 (274,399)

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Bayesian inference, forecasting, importance sampling, numerical accuracy, long run risk, Value-at-Risk, Expected Shortfall

13.

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
Nalan Basturk, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 95 (274,399)
Citation 2

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

14.

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Tinbergen Institute Discussion Paper 13-060/III
Number of pages: 37 Posted: 17 Apr 2013 Last Revised: 10 Mar 2014
Lukasz T. Gatarek, Lennart F. Hoogerheide, Koen Hooning and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), VU University Amsterdam, Delft University of Technology and Tinbergen Institute
Downloads 94 (276,311)
Citation 3

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censored likelihood, censored posterior, censored predictive likelihood, Bayesian Model Averaging, Value at Risk, Metropolis-Hastings algorithm

GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Tinbergen Institute Discussion Paper 2013-047/III
Number of pages: 18 Posted: 21 Mar 2013
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 94 (278,375)
Citation 1

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GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, false discovery rate

GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Economics Letters, Vol. 123, Issue 2, pp.187-190, May 2014
Posted: 27 Feb 2013 Last Revised: 11 Mar 2014
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam

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GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, estimation, false discovery rate

16.

To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Computational Statistics & Data Analysis, Vol. 56, No. 11, pp. 3398-3414, 2012, TI Discussion Paper No. 09-017/4
Number of pages: 44 Posted: 26 Feb 2009 Last Revised: 13 May 2015
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 93 (278,182)
Citation 1

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marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions

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 51 (391,832)

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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 17 (560,288)

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

18.

A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

Tinbergen Institute Discussion Paper No. 2011-004/4
Number of pages: 53 Posted: 10 Jan 2011
Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 67 (337,485)
Citation 6

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Mixture of Student-T Distributions, Importance Sampling, Kullback-Leibler Divergence, Expectation Maximization, Metropolis-Hastings Algorithm, Predictive Likelihoods, Mixture GARCH Models, Value at Risk

19.

Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012

Wilmott Magazine, Issue 66, pp. 40-44, July 2013
Number of pages: 9 Posted: 02 Mar 2013 Last Revised: 23 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 64 (345,677)

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GARCH, GJR, equity, leverage effect, S&P 500 universe

20.

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 (345,677)

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

21.

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Tinbergen Institute Discussion Paper No. 12-026/4
Number of pages: 37 Posted: 25 Mar 2012
Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 64 (345,677)
Citation 2

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mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables

22.

Family Background Variables as Instruments for Education in Income Regressions: A Bayesian Analysis

Economics of Education Review, Vol. 31, Issue 5, pp. 515-523
Number of pages: 18 Posted: 15 Aug 2010 Last Revised: 05 Jan 2013
Lennart F. Hoogerheide, Jorn H. Block and Roy Thurik
VU University Amsterdam, University of Trier - Faculty of Management and Montpellier Business School
Downloads 64 (345,677)
Citation 2

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education, family background variables, earnings, income, instrumental variables, Bayesian analysis

23.

AdMit: Adaptive Mixtures of Student-t Distributions

The R Journal, Vol. 1, No. 1, pp. 25-30, May 2009
Number of pages: 6 Posted: 16 Jun 2010 Last Revised: 03 Aug 2018
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
HEC Montreal - Department of Decision Sciences, VU University Amsterdam and Tinbergen Institute
Downloads 62 (351,233)

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adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

24.

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Tinbergen Institute Discussion Paper 14-118/III
Number of pages: 35 Posted: 02 Sep 2014 Last Revised: 31 Mar 2016
Istvan Barra, Lennart F. Hoogerheide, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 60 (357,040)

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Bayesian inference, importance sampling, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions

25.

On the Shape of Posterior Densities and Credible Sets in Instrumental Variable Regression Models with Reduced Rank: An Application of Flexible Sampling Methods Using Neural Networks

CORE Discussion Paper No. 2005/29
Number of pages: 35 Posted: 27 Jan 2006
Lennart F. Hoogerheide, Johan F. kaashoek and H. K. van Dijk
VU University Amsterdam, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 57 (366,126)
Citation 5

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instrumental variables, reduced rank, importance sampling, Markov chain Monte Carlo, neural networks, Bayesian inference, credible sets

26.

Possibly Ill-Behaved Posteriors in Econometric Models

Tinbergen Institute Discussion Paper No. 08-036/4
Number of pages: 44 Posted: 08 Apr 2008
Lennart F. Hoogerheide and H. K. van Dijk
VU University Amsterdam and Tinbergen Institute
Downloads 54 (375,733)
Citation 1

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instrumental variables, vector error correction model, mixture model, importance sampling, Markov chain Monte Carlo, neural network

27.

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 (454,073)
Citation 1

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forecast combination, momentum strategy, filtering methods, Bayes estimates

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
Nalan Basturk, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 12 (594,017)

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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
Nalan Basturk, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 7 (628,972)

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29.

Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM

Tinbergen Institute Discussion Paper 16-005/III
Number of pages: 26 Posted: 25 Jan 2016
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam and Tinbergen Institute
Downloads 19 (528,577)

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

30.

Learning to Average Predictively Over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions

Tinbergen Institute Discussion Paper 2018-063/III
Number of pages: 9 Posted: 20 Aug 2018
Lennart F. Hoogerheide and H. K. van Dijk
VU University Amsterdam and Tinbergen Institute
Downloads 14 (558,176)

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Bayesian learning, predictive density combinations

31.

Stock Index Returns' Density Prediction Using GARCH Models: Frequentist or Bayesian Estimation?

Economics Letters, Vol. 116, pp. 322-325, September 2012
Number of pages: 6 Posted: 20 Jan 2011 Last Revised: 17 Nov 2017
Lennart F. Hoogerheide, David Ardia and Nienké Corré
VU University Amsterdam, HEC Montreal - Department of Decision Sciences and Bain & Company - Bain & Company, Netherlands, LLC
Downloads 12 (570,690)
Citation 1

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GARCH, Bayesian, KLIC, censored likelihood

32.

A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Wilmott Magazine 83, pp.46-48, 2016
Number of pages: 6 Posted: 13 Feb 2016 Last Revised: 15 Nov 2017
David Ardia, Anas Guerrouaz and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, Université Laval - Département de Finance et Assurance and VU University Amsterdam
Downloads 11 (576,849)

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Bootstrap test, GARCH, dependent time series, multiple testing, Value-at-Risk

33.

Worldwide Equity Risk Prediction

Applied Economics Letters, Vol. 20, No. 14, 2013
Number of pages: 9 Posted: 23 May 2012 Last Revised: 14 Nov 2017
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 6 (609,165)

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GARCH, value-at-risk, equity, worldwide, false discovery rate

34.

Partially Censored Posterior for Robust and Efficient Risk Evaluation

Tinbergen Institute Discussion Paper 2019-057/III
Number of pages: 33 Posted: 22 Aug 2019
Agnieszka Borowska, Lennart F. Hoogerheide, Siem Jan Koopman and Herman van Dijk
VU University Amsterdam, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 4 (622,839)

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Bayesian Inference, Censored Likelihood, Censored Posterior, Partially Censored Posterior, Misspecification, Density Forecasting, Markov Chain Monte Carlo, Importance Sampling, Mixture of Student's T, Value-At-Risk, Expected Shortfall

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 22 Posted: 30 Mar 2017
David Ardia, Lukasz T. Gatarek and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam
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bootstrap test, generalized autoregressive conditional heteroscedasticity (GARCH), marginal models, multiple time series, value-at-risk (VaR)

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, 2017, Volume 19, Issue 4, pages 1-22
Posted: 19 Aug 2013 Last Revised: 14 Nov 2017
David Ardia, Lukasz T. Gatarek and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam

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Bootstrap test, GARCH, marginal models, multiple time series, Value-at-Risk

36.

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

The R Journal, Vol. 2, No. 2, pp. 41–47, 2010
Posted: 21 Sep 2009 Last Revised: 14 Dec 2015
David Ardia and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences and VU University Amsterdam

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GARCH, Bayesian, MCMC, Student-t, R software