H. K. van Dijk

Tinbergen Institute

Professor

Gustav Mahlerplein 117

Burg. Oudlaan 50

Amsterdam/Rotterdam, 1082 MS

Netherlands

http://people.few.eur.nl/hkvandijk/

Econometric Institute

professor

P.O. Box 1738

3000 DR Rotterdam

Netherlands

  • Tinbergen Institute

    • Email
    • Tel: +31104088955
    • Fax: +31104089031

  • Econometric Institute

    • Email
    • Tel: +31 10 4088955
    • Fax: +31 10 4527746
SCHOLARLY PAPERS

51

DOWNLOADS
Rank 13,255

SSRN RANKINGS

Top 13,255

in Total Papers Downloads

6,489

SSRN CITATIONS
Rank 6,589

SSRN RANKINGS

Top 6,589

in Total Papers Citations

144

CROSSREF CITATIONS

103

Scholarly Papers (51)

Actions:
Email selected abstracts
1.

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Downloads 607 (77,387)
Citation 6

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Tinbergen Institute Discussion Paper 13-055/III
Number of pages: 28 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 501 (97,148)
Citation 3

Abstract:

Loading...

Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Norges Bank Working Paper 11 | 2014
Number of pages: 27 Posted: 04 May 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 63 (600,653)
Citation 4

Abstract:

Loading...

Density forecast combination, sequential Monte Carlo, parallel computing, GPU, MATLAB

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
Number of pages: 30 Posted: 27 Apr 2013
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, Aarhus University - CREATES, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 43 (718,542)
Citation 2

Abstract:

Loading...

Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

2.

Robust Optimization of the Equity Momentum Strategy

Tinbergen Institute Discussion Paper No. 09-011/4
Number of pages: 17 Posted: 14 Feb 2009
Arco van Oord, Martin Martens and H. K. van Dijk
De Nederlandsche Bank, Robeco Asset Management and Tinbergen Institute
Downloads 410 (124,479)

Abstract:

Loading...

quadratic optimization, momentum strategy, robust optimization

3.

Predictive Gains from Forecast Combinations Using Time Varying Model Weights

Number of pages: 41 Posted: 11 Sep 2007
Francesco Ravazzolo, Marno Verbeek and H. K. van Dijk
Free University of Bozen-Bolzano - Faculty of Economics and Management, Erasmus University - Rotterdam School of Management and Tinbergen Institute
Downloads 348 (149,456)
Citation 5

Abstract:

Loading...

Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging

4.

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 329 (158,755)
Citation 3

Abstract:

Loading...

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

5.

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 289 (181,989)
Citation 7

Abstract:

Loading...

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

6.

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Downloads 267 (197,210)
Citation 10

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 15-084/III
Number of pages: 73 Posted: 21 Jul 2015 Last Revised: 06 Mar 2017
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 221 (236,450)
Citation 6

Abstract:

Loading...

Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Norges Bank Working Paper No. 12/2015
Number of pages: 58 Posted: 08 Aug 2015
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Kent - Canterbury Campus, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 46 (698,385)
Citation 7

Abstract:

Loading...

Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

7.

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 258 (204,083)

Abstract:

Loading...

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

8.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Downloads 252 (208,853)
Citation 6

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Tinbergen Institute Discussion Paper 13-142/III
Number of pages: 61 Posted: 16 Sep 2013 Last Revised: 07 Nov 2014
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 137 (359,040)
Citation 5

Abstract:

Loading...

Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction Mechanism

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 58 (626,981)
Citation 5

Abstract:

Loading...

Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (632,441)
Citation 3

Abstract:

Loading...

Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

9.

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 224 (234,060)
Citation 4

Abstract:

Loading...

10.

On the Practice of Bayesian Inference in Basic Economic Time Series Models Using Gibbs Sampling

Tinbergen Institute Discussion Papers No. 2006-076/4
Number of pages: 48 Posted: 10 Sep 2006
Michiel De Pooter, Rene Segers and H. K. van Dijk
Amazon Web Services, Inc., Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 199 (261,165)
Citation 1

Abstract:

Loading...

Gibbs sampler, MCMC, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models

11.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 189 (273,539)
Citation 39

Abstract:

Loading...

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

12.

Combination Schemes for Turning Point Predictions

Downloads 182 (282,728)
Citation 7

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 94 (473,773)
Citation 1

Abstract:

Loading...

turning points, Markov-switching, forecast combination, Bayesian model averaging

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 45 (705,093)
Citation 6

Abstract:

Loading...

Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging

Combination Schemes for Turning Point Predictions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2012
Number of pages: 31 Posted: 28 Jul 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 43 (718,542)

Abstract:

Loading...

C11, C15, C53, E37

13.

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
Lennart F. Hoogerheide, Richard Kleijn, Francesco Ravazzolo, H. K. van Dijk and Marno Verbeek
VU University Amsterdam, affiliation not provided to SSRN, Free University of Bozen-Bolzano - Faculty of Economics and Management, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 164 (309,327)
Citation 18

Abstract:

Loading...

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

14.

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 160 (315,841)
Citation 1

Abstract:

Loading...

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

15.

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Tinbergen Institute Discussion Paper No. 2011-082/4
Number of pages: 18 Posted: 24 May 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 143 (346,402)
Citation 2

Abstract:

Loading...

Density forecast combination, stock data

16.

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 Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 128 (377,227)
Citation 2

Abstract:

Loading...

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

17.

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 126 (381,753)
Citation 4

Abstract:

Loading...

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

18.

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

Downloads 122 (391,157)

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
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 80 (524,664)

Abstract:

Loading...

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
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide, Anne Opschoor and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent - Canterbury Campus, VU University Amsterdam, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 42 (725,563)

Abstract:

Loading...

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

19.

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 122 (391,157)
Citation 3

Abstract:

Loading...

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

20.

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 114 (411,029)
Citation 1

Abstract:

Loading...

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

21.

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
Nalan Basturk, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, Koc University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 101 (448,323)
Citation 1

Abstract:

Loading...

History, Bayesian Econometrics

22.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of pages: 40 Posted: 28 Jul 2012 Last Revised: 03 Oct 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 101 (448,323)

Abstract:

Loading...

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

23.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Norges Bank Working Paper No. 2010/29
Number of pages: 41 Posted: 09 Jan 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 98 (457,390)
Citation 2

Abstract:

Loading...

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

24.

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 98 (457,390)

Abstract:

Loading...

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

25.

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
Nalan Basturk, Cem Cakmakli, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
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 97 (460,500)

Abstract:

Loading...

History, Bayesian Econometrics

26.

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
Arnold Zellner, Tomohiro Ando, Nalan Basturk, Lennart F. Hoogerheide and H. K. van Dijk
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 90 (486,449)

Abstract:

Loading...

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

27.

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 86 (500,519)
Citation 6

Abstract:

Loading...

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

28.

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 79 (522,830)
Citation 2

Abstract:

Loading...

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

29.

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 75 (538,842)
Citation 3

Abstract:

Loading...

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

30.

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 71 (555,485)
Citation 5

Abstract:

Loading...

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

31.

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Tinbergen Institute Discussion Paper No. 08-096/4
Number of pages: 52 Posted: 19 Oct 2008
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 68 (568,467)
Citation 3

Abstract:

Loading...

Posterior probability, Grassman manifold, Orthogonal group, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model, Great Ratios, Liquidity trap

32.

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
Nalan Basturk, Agnieszka Borowska, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, University of Rome Tor Vergata, VU University Amsterdam and Tinbergen Institute
Downloads 66 (577,446)
Citation 1

Abstract:

Loading...

forecast combination, momentum strategy, filtering methods, Bayes estimates

33.

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

Downloads 65 (582,024)

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 36 (770,125)

Abstract:

Loading...

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 29 (827,432)

Abstract:

Loading...

34.

Interconnections between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode

Tinbergen Institute Discussion Paper 15-111/III
Number of pages: 63 Posted: 15 Sep 2015 Last Revised: 23 Sep 2015
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 65 (582,024)
Citation 11

Abstract:

Loading...

Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

35.

Combined Density Nowcasting in an Uncertain Economic Environment

Downloads 64 (586,575)
Citation 9

Combined Density Nowcasting in an Uncertain Economic Environment

Norges Bank Working Paper 17 | 2014
Number of pages: 38 Posted: 04 May 2015
Knut Are Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 34 (785,786)
Citation 9

Abstract:

Loading...

Density forecast combination; Survey forecast; Bayesian filtering; Sequential Monte Carlo Nowcasting; Real-time data

Combined Density Nowcasting in an Uncertain Economic Environment

Tinbergen Institute Discussion Paper 14-152/III
Number of pages: 38 Posted: 12 Dec 2014
Knut Are Aastveit, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 30 (818,808)

Abstract:

Loading...

Density forecast combination; Survey forecast; Bayesian Filtering; Sequential Monte Carlo Nowcasting, Real-time Data

36.

Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

CAMA Working Paper No. 3/2012
Number of pages: 41 Posted: 13 Feb 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 58 (621,101)
Citation 2

Abstract:

Loading...

Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulsive response, Vector autoregressive model

37.

Divergent Priors and Well Behaved Bayes Factors

Tinbergen Institute Discussion Paper 11-006/4
Number of pages: 42 Posted: 15 Jan 2011
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 58 (615,994)

Abstract:

Loading...

Improper Prior, Bayes Factor, Marginal Likelihood, Shrinkage Prior, Measure

38.

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Tinbergen Institute Discussion Paper No. 11-172/4
Number of pages: 55 Posted: 05 Dec 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 57 (626,300)
Citation 4

Abstract:

Loading...

density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

39.

Quantifying time-varying forecast uncertainty and risk for the real price of oil

Downloads 56 (626,300)
Citation 2

Quantifying time-varying forecast uncertainty and risk for the real price of oil

Tinbergen Institute Discussion Paper 2021-053/III
Number of pages: 39 Posted: 15 Jun 2021
Knut Are Aastveit, Jamie Cross, Jamie Cross and H. K. van Dijk
Norges Bank, Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)Center of Applied Macroeconomics and Commodity Prices (CAMP), BI Norwegian Business School and Tinbergen Institute
Downloads 38 (754,898)

Abstract:

Loading...

Oil price, Forecast density combination, Bayesian forecasting, Instabilities, Model uncertainty

Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil

Tinbergen Institute Discussion Paper 2021-103/III
Number of pages: 37 Posted: 11 Feb 2022
Knut Are Aastveit, Jamie Cross, Jamie Cross and H. K. van Dijk
Norges Bank, Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)Center of Applied Macroeconomics and Commodity Prices (CAMP), BI Norwegian Business School and Tinbergen Institute
Downloads 18 (932,076)
Citation 1

Abstract:

Loading...

Quantifying time-varying forecast uncertainty and risk for the real price of oil

40.

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 2019-025/III
Number of pages: 79 Posted: 02 May 2019
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, BI Norwegian Business School and Tinbergen Institute
Downloads 56 (626,300)
Citation 2

Abstract:

Loading...

Forecast Combinations, Particle Filters, Bayesian Inference, State Space Models, Sequential Monte Carlo

41.

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
Nalan Basturk, Cem Cakmakli, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
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 54 (636,975)

Abstract:

Loading...

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

42.

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
Nalan Basturk, Cem Cakmakli, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
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 53 (642,474)
Citation 6

Abstract:

Loading...

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

43.

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 48 (670,748)

Abstract:

Loading...

Growth, Time varying parameters, Expectations data.

44.

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 43 (701,667)

Abstract:

Loading...

Bayesian learning, predictive density combinations

45.

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Tinbergen Institute Discussion Paper 10-050/4
Number of pages: 54 Posted: 31 May 2010
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 43 (701,667)

Abstract:

Loading...

Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

46.

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 38 (735,693)

Abstract:

Loading...

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

47.

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Tinbergen Institute Discussion Paper No. 12-025/4
Number of pages: 50 Posted: 21 Mar 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 38 (742,738)

Abstract:

Loading...

Posterior probability, Dynamic stochastic general equilibrium model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

48.

A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Tinbergen Institute Discussion Paper 2022-013/III
Number of pages: 32 Posted: 05 Apr 2022
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, BI Norwegian Business School and Tinbergen Institute
Downloads 30 (795,586)

Abstract:

Loading...

Density combination, large set of predictive densities, dynamic factor models, nonlinear state-space, Bayesian inference

49.

The Evolution of Forecast Density Combinations in Economics

Tinbergen Institute Discussion Paper 2018-069/III
Number of pages: 47 Posted: 12 Sep 2018
Knut Are Aastveit, James Mitchell, Francesco Ravazzolo and H. K. van Dijk
Norges Bank, Federal Reserve Bank of Cleveland, Free University of Bozen-Bolzano and Tinbergen Institute
Downloads 0 (1,058,163)
Citation 10

Abstract:

Loading...

Forecasting, Model Uncertainty, Density Combinations

50.

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

Posted: 14 Apr 2005
Luc Bauwens, Charles S. Bos, H. K. van Dijk and R.D. van Oest
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Loading...

Markov chain Monte Carlo, importance sampling, radial coordinates

51.

Bayesian Analysis of Stochastic Trends in Structural Time Series Models

A1.89 WP 9663/A
Posted: 25 Feb 1998
Gary Koop and H. K. van Dijk
University of Leicester - Department of Economics and Tinbergen Institute

Abstract:

Loading...