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Information about:
Michiel De Pooter

Personal Details | Affiliation | Works

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Other registered authors

Personal Details

First Name: Michiel
Middle Name:
Last Name: De Pooter
Suffix:

RePEc Short-ID: pde371

Email: [This author has chosen not to make the email address public]
Homepage: http://people.few.eur.nl/depooter
Postal Address:
Phone:

Affiliation

(in no particular order)

Econometrisch Instituut (Econometric Institute)
Faculteit der Economische Wetenschappen (Erasmus School of Economics)
Erasmus Universiteit
Location: Rotterdam, Netherlands
Homepage: http://www.econometric-institute.org/
Email:
Phone: 010 - 40 81278
Fax: 010 - 40 89162
Postal: Burgemeester Oudlaan 50, 3062 PA Rotterdam
Handle: RePEc:edi:eieurnl (registered authors at this institution)

Lists

This author is among the top 5% authors according to these criteria:

Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

Working papers

Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute. [Downloadable!]
Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007. [Downloadable!]
Other versions:
- Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute. [Downloadable!]
Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006. [Downloadable!]
Published as:
- Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 199-229. [Downloadable!] (restricted)
Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute. [Downloadable!]
Michiel D. de Pooter & Rengert Segers, 2004. "Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling," Computing in Economics and Finance 2004 82, Society for Computational Economics.

Articles

Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303. [Downloadable!] (restricted)
Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 199-229. [Downloadable!] (restricted)
Other versions:
- Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006. [Downloadable!]

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

NEP-ECM: Econometrics (3) 2006-09-16 2007-03-17 2007-04-09 Author is listed
NEP-ETS: Econometric Time Series (3) 2004-08-23 2005-11-19 2006-09-16 Author is listed
NEP-FIN: Finance (2) 2004-08-23 2005-11-19 Author is listed
NEP-FMK: Financial Markets (3) 2004-08-23 2005-11-19 2007-06-23 Author is listed
NEP-FOR: Forecasting (3) 2007-03-17 2007-04-09 2007-06-23 Author is listed
NEP-KNM: Knowledge Management & Knowledge Economy (1) 2006-09-16
NEP-MAC: Macroeconomics (3) 2007-03-17 2007-04-09 2007-06-23 Author is listed
NEP-MON: Monetary Economics (2) 2007-03-17 2007-04-09 Author is listed

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This page was last updated on 2009-11-8.

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