Lennart F. Hoogerheide

Vrije Universiteit Amsterdam - Dept. of Econometrics

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

31

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55

Scholarly Papers (31)

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,
Posted: 26 Jan 2010 Last Revised: 14 Dec 2015
David Ardia and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

2.

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

3.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 215 (102,766)
Citation 9

Abstract:

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

4.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 184 (127,114)
Citation 5

Abstract:

5.

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), Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 141 (118,930)

Abstract:

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

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, Vrije Universiteit Amsterdam - Dept. of Econometrics and Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Downloads 133 (159,046)
Citation 3

Abstract:

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

7.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, affiliation not provided to SSRN, Free University of Bolzano, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 131 (169,378)
Citation 6

Abstract:

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

8.

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
Posted: 23 Jun 2008 Last Revised: 14 Dec 2015
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute

Abstract:

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

9.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, Free University of Bolzano and Tinbergen Institute
Downloads 88 (214,805)
Citation 1

Abstract:

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

10.

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), Vrije Universiteit Amsterdam - Dept. of Econometrics, Delft University of Technology and Tinbergen Institute
Downloads 81 (228,829)

Abstract:

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

11.

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
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 81 (233,794)
Citation 1

Abstract:

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

12.

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, Forthcoming
Posted: 19 Aug 2013 Last Revised: 02 Aug 2016
David Ardia, Lukasz T. Gatarek and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

13.

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, Vrije Universiteit Amsterdam - Dept. of Econometrics and Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Downloads 76 (224,042)

Abstract:

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

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics
Downloads 71 (264,800)

Abstract:

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

15.

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, Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 60 (242,569)

Abstract:

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

16.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 56 (288,930)
Citation 3

Abstract:

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

17.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 50 (291,354)
Citation 2

Abstract:

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

18.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 50 (309,575)
Citation 15

Abstract:

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

19.

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
Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 47 (318,110)
Citation 4

Abstract:

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

20.

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: 08 Apr 2011
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 45 (309,575)
Citation 3

Abstract:

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

21.

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), Melbourne Business School, Maastricht University - Department of Quantitative Economics, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 44 (291,354)
Citation 2

Abstract:

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

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
Vrije Universiteit Amsterdam - Dept. of Econometrics, University of Trier - Faculty of Management and Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Downloads 41 (323,868)
Citation 1

Abstract:

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

23.

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, Vrije Universiteit Amsterdam - Dept. of Econometrics, VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Downloads 27 (323,868)

Abstract:

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

24.

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

Tinbergen Institute Discussion Paper 15-042/III
Number of pages: 42 Posted: 31 Mar 2015
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 17 (348,872)

Abstract:

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

25.

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, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 0 (165,556)

Abstract:

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

26.

Comparison of Multiple Methods for Computing Numerical Standard Errors: An Extensive Monte Carlo Study

Number of pages: 13 Posted: 07 Mar 2016 Last Revised: 10 May 2016
David Ardia, Keven Bluteau and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students and Vrije Universiteit Amsterdam - Dept. of Econometrics
Downloads 0 (298,850)

Abstract:

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

27.

A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Wilmott Magazine 83, pp.46-48 , 2016
Posted: 13 Feb 2016 Last Revised: 08 Jul 2016
David Ardia, Anas Guerrouaz and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis, Laval University - Département de Finance et Assurance and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

28.

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, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 0 (476,055)

Abstract:

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

29.

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
Posted: 02 Mar 2013 Last Revised: 14 Dec 2015
David Ardia and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

30.

Worldwide Equity Risk Prediction

Applied Economics Letters, Vol. 20, No. 14, 2013
Posted: 23 May 2012 Last Revised: 03 Jul 2013
David Ardia and Lennart F. Hoogerheide
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Amsterdam - Dept. of Econometrics

Abstract:

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

31.

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

Economics Letters, Vol. 116, pp. 322-325, September 2012
Posted: 20 Jan 2011 Last Revised: 01 May 2012
Lennart F. Hoogerheide, David Ardia and Nienké Corré
Vrije Universiteit Amsterdam - Dept. of Econometrics, University of Neuchatel - Institute of Financial Analysis and affiliation not provided to SSRN

Abstract:

GARCH, Bayesian, KLIC, censored likelihood