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Publications

by members of

Afdeling Kwantitatieve Economie
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Amsterdam, Netherlands

(Department of Quantitative Economics, Faculty of Economics and Business, University of Amsterdam))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2016

  1. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016. "Robust Optimal Risk Sharing and Risk Premia in Expanding Pools," Papers 1601.06979, arXiv.org.

2015

  1. Louis R. Eeckhoudt & Roger J. A. Laeven, 2015. "Risk Aversion in the Small and in the Large under Rank-Dependent Utility," Papers 1512.08037, arXiv.org.

2014

  1. Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying booms and busts in house prices under heterogeneous expectations," DNB Working Papers 450, Netherlands Central Bank, Research Department.
  2. Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014. "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series 51, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  3. Can, S.U. & Einmahl, J.H.J. & Khmaladze, E.V. & Laeven, R.J.A., 2014. "Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas," Discussion Paper 2014-041, Tilburg University, Center for Economic Research.
  4. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014. "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers 14-133/III, Tinbergen Institute.

2013

  1. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2013. "Partial Symbolic Transfer Entropy," CeNDEF Working Papers 13-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Diks, C.G.H. & Wolski, M., 2013. "Nonlinear Granger Causality: Guidelines for Multivariate Analysis," CeNDEF Working Papers 13-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Roorda, B. & Schumacher, J.M., 2013. "Membership conditions for consistent families of monetary valuations," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.
  4. Kees Jan van Garderen & H. Peter Boswijk, 2013. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers 13-05, Universiteit van Amsterdam, Dept. of Econometrics.
  5. Simon A. Broda, 2013. "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers 13-04, Universiteit van Amsterdam, Dept. of Econometrics.
  6. Simon A. Broda & Raymond Kan, 2013. "On Distributions of Ratios," UvA-Econometrics Working Papers 13-10, Universiteit van Amsterdam, Dept. of Econometrics.

2012

  1. Reddy, P.V. & Schumacher, J.M. & Engwerda, J.C., 2012. "Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model," Discussion Paper 2012-001, Tilburg University, Center for Economic Research.

2011

  1. Diks, C.G.H. & Wagener, F.O.O., 2011. "Phenomenological and ratio bifurcations of a class of discrete time stochastic processes," CeNDEF Working Papers 11-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Wilko Bolt & Maria Demertzis & Cees Diks & Marco van der Leij, 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," DNB Working Papers 329, Netherlands Central Bank, Research Department.
  3. Cees Diks & Valentyn Panchenko & Dick Van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
  4. Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M. & Brogliato, B., 2011. "Observer-based control of linear complementarity systems," Other publications TiSEM 38b3325c-4d33-4c2f-92f8-9, Tilburg University, School of Economics and Management.
  5. Roorda, B. & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Other publications TiSEM fe50549a-ca7b-4a03-9318-1, Tilburg University, School of Economics and Management.
  6. Schumacher, J.M. & Oosterlee, C.W. & In 't Hout, K.J., 2011. "Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie?," Other publications TiSEM f47b3a85-cc1d-45b8-a9ba-0, Tilburg University, School of Economics and Management.
  7. Wuerth, A.M. & Schumacher, J.M., 2011. "Risk aversion for nonsmooth utility functions," Other publications TiSEM d948cfad-5e83-46ce-ae72-6, Tilburg University, School of Economics and Management.
  8. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011. "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper 0825, Institute of Social and Economic Research, Osaka University.
  9. Laeven, R.J.A., 2011. "Liquidity premium in Solvency II," Other publications TiSEM cee19911-ef98-48ef-97d5-b, Tilburg University, School of Economics and Management.
  10. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.

2010

  1. Dirk Broeders & An Chen, 2010. "Pension benefit security: a comparison of solvency requirements, a pension guarantee fund and sponsor support," DNB Working Papers 268, Netherlands Central Bank, Research Department.
  2. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
  3. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Burr Utility," Discussion Paper 2010-81, Tilburg University, Center for Economic Research.
  4. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper 2010-122, Tilburg University, Center for Economic Research.
  5. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Scrap Value Functions in Dynamic Decision Problems," Discussion Paper 2010-77, Tilburg University, Center for Economic Research.

2009

  1. De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Cheng, Yebin & De Gooijer, Jan & Zerom, Dawit, 2009. "Efficient Estimation of an Additive Quantile Regression Model," MPRA Paper 14388, University Library of Munich, Germany.
  3. Dirk Broeders & An Chen & Birgit Koos, 2009. "An institutional evaluation of pension funds and life insurance companies," DNB Working Papers 227, Netherlands Central Bank, Research Department.

2008

  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
  2. Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department.

2007

  1. Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Bekiros, S. & Diks, C.G.H., 2007. "The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing," CeNDEF Working Papers 07-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies 725, Umeå University, Department of Economics.

2006

  1. Diks, C.G.H. & Panchenko, V., 2006. "Rank-based entropy tests for serial independence," CeNDEF Working Papers 06-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Diks, C.G.H. & Dindo, P.D.E., 2006. "Informational differences and learning in an asset market with boundedly rational agents," CeNDEF Working Papers 06-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006. "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers 06-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Diks, C.G.H. & Wagener, F.O.O., 2006. "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers 06-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. An Chen & Michael Suchanecki, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers bgse8_2006, University of Bonn, Germany.
  6. Simon Broda & Marc Paolella & Yianna Tchopourian, 2006. "Approximately Exact Inference in Dynamic Panel Models," Computing in Economics and Finance 2006 368, Society for Computational Economics.
  7. Simon A. BRODA & Marc S. PAOLELLA, 2006. "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Swiss Finance Institute Research Paper Series 08-08, Swiss Finance Institute, revised Feb 2008.

2005

  1. Cees Diks, 2005. "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005 290, Society for Computational Economics.
  2. Cees G. H. Diks & Dennis P. J. Botman, 2005. "The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks," IMF Working Papers 05/205, International Monetary Fund.
  3. Cees Diks & Valentyn Panchenko, 2005. "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005 279, Society for Computational Economics.
  4. Diks C.G.H. & Wagener, F.O.O., 2005. "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers 05-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Diks, C.G.H. & Panchenko, V., 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," CeNDEF Working Papers 05-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
  7. An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers bgse19_2005, University of Bonn, Germany.

2004

  1. Valentyn Panchenko & Cees Diks, 2004. "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004 201, Society for Computational Economics.
  2. Cees Diks & Valentyn Panchenko, 2004. "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004 192, Society for Computational Economics.
  3. Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Diks, C.G.H. & Panchenko, V., 2004. "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers 04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Berridge, S.J. & Schumacher, J.M., 2004. "Pricing High-Dimensional American Options Using Local Consistency Conditions," Discussion Paper 2004-19, Tilburg University, Center for Economic Research.
  6. Berridge, S.J. & Schumacher, J.M., 2004. "Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options," Discussion Paper 2004-20, Tilburg University, Center for Economic Research.
  7. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004. "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers 04-030/4, Tinbergen Institute.
  8. Sophocles Mavroeidis & Kees Jan van Garderen, 2004. "Conditional Inference in Cointegrating Vector Autoregressive Models," Econometric Society 2004 Australasian Meetings 211, Econometric Society.

2003

  1. Cees Diks & Svetlana Borovkova, 2003. "Conditional distribution resampling for time series," Computing in Economics and Finance 2003 70, Society for Computational Economics.
  2. Cees Diks, 2003. "The correlation dimension of returns with stochastic volatility," Computing in Economics and Finance 2003 180, Society for Computational Economics.
  3. Diks, C.G.H. & Weide, R. van der, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers 03-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Diks, C.G.H. & Weide, R. van der, 2003. "Heterogeneity as a natural source of randomness," CeNDEF Working Papers 03-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
  6. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003. "Robust equilibria in indefinite linear-quadratic differential games," Other publications TiSEM 4a566f74-cf19-4cc9-852a-5, Tilburg University, School of Economics and Management.
  7. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2003. "An equivalence result in linear-quadratic theory," Other publications TiSEM d65171ce-101d-4204-a1ec-f, Tilburg University, School of Economics and Management.

2002

  1. Cees Diks & Roy van der Weid, 2002. "Endogenous Noise from Continuous Choice," Computing in Economics and Finance 2002 382, Society for Computational Economics.
  2. Botman, D.P.J. & Diks, C.G.H., 2002. "Location of investors and capitical flight," CeNDEF Working Papers 02-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Diks, C.G.H. & Weide, R. van der, 2002. "Continuous Beliefs Dynamics," CeNDEF Working Papers 02-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Diks, C.G.H., 2002. "Detecting serial dependence in tail events: A test dual to BDS test," CeNDEF Working Papers 02-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Berridge, S.J. & Schumacher, J.M., 2002. "An Irregular Grid Approach for Pricing High Dimensional American Options," Discussion Paper 2002-99, Tilburg University, Center for Economic Research.
  6. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2002. "Model Risk and Regulatory Capital," Discussion Paper 2002-27, Tilburg University, Center for Economic Research.
  7. Heemels, W.P.M.H. & Camlibel, M.K. & Schumacher, J.M., 2002. "On the dynamic analysis of piecewise-linear networks," Other publications TiSEM 5f3ee4aa-5cfb-4b0f-96c8-b, Tilburg University, School of Economics and Management.
  8. Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2002. "Consistency of a time-stepping method for a class of piecewise-linear networks," Other publications TiSEM 93af5e10-23ee-41bc-b3fc-5, Tilburg University, School of Economics and Management.

2001

  1. Cees Diks, 2001. "A nonparametric bootstrap test for nonlinear Granger causality," CeNDEF Workshop Papers, January 2001 3A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Cees Diks and Roy van der Weide, 2001. "Asset pricing with a continuum of belief types," Computing in Economics and Finance 2001 217, Society for Computational Economics.
  3. Diks, C.G.H. & Manzan, S., 2001. "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers 01-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

2000

  1. Diks, C.G.H., 2000. "Dimension estimations, stock returns and volatility clustering," CeNDEF Working Papers 00-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Diks, C.G.H. & Mudelsee, M., 2000. "Redundancies in the Earth's climatological time series," CeNDEF Working Papers 00-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies 535, Umeå University, Department of Economics.
  4. van den Broek, W.A. & Engwerda, J.C. & Schumacher, J.M., 2000. "A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances," Discussion Paper 2000-38, Tilburg University, Center for Economic Research.
  5. Camlibel, M.K. & Heemels, W.P.M.H. & Schumacher, J.M., 2000. "Well-posedness of a class of linear networks with ideal diodes," Other publications TiSEM 4d0e45aa-e1b0-4329-b387-f, Tilburg University, School of Economics and Management.
  6. Heemels, W.P.M.H. & Schumacher, J.M. & Weiland, S., 2000. "Linear complimentarity systems," Other publications TiSEM 6cdf0170-6ea9-4fdc-8cfa-6, Tilburg University, School of Economics and Management.
  7. Engwerda, J.C. & van den Broek, W.A. & Schumacher, J.M., 2000. "Feedback Nash equilibria in uncertain infinite time horizon differential games," Other publications TiSEM c431993d-ee67-4a93-9e2d-f, Tilburg University, School of Economics and Management.

1999

  1. Diks, C.G.H., 1999. "Consistent Testing for Serial Independence," CeNDEF Working Papers 99-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Diks, C.G.H., 1999. "Dynamical Behavior of Agent Models," CeNDEF Working Papers 99-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. van den Broek, W.A. & Schumacher, J.M., 1999. "Disturbance Decoupling in Dynamic Games," Discussion Paper 1999-67, Tilburg University, Center for Economic Research.
  4. Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999. "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper 1999-05, Tilburg University, Center for Economic Research.

1998

  1. Van Garderen, K. J. & Lee, K. & Pesaran M., 1998. "Cross-sectional Aggregation of Non-linear Models," Cambridge Working Papers in Economics 9803, Faculty of Economics, University of Cambridge.

1997

  1. Rosenthal, J. & Schumacher, J.M., 1997. "Realization by inspection," Other publications TiSEM 28d79c0f-cd32-46ac-81e8-7, Tilburg University, School of Economics and Management.
  2. Cevik, M.K.K. & Schumacher, J.M., 1997. "Regulation as an interpolation problem," Other publications TiSEM 48ef95bf-86dd-4932-860f-b, Tilburg University, School of Economics and Management.
  3. Ravi, M.S. & Rosenthal, J. & Schumacher, J.M., 1997. "Homogeneous behaviors," Other publications TiSEM 2b7d087c-568b-4013-a1a1-5, Tilburg University, School of Economics and Management.
  4. Helmke, U. & Rosenthal, J. & Schumacher, J.M., 1997. "A controlability test for general first-order representations," Other publications TiSEM c1d2ef96-26c2-4c77-95bd-3, Tilburg University, School of Economics and Management.
  5. van GARDEREN, Kees Jan, 1997. "Exact geometry of explosive autoregressive models," CORE Discussion Papers 1997068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1996

  1. Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996. "Testing Linearity against Nonlinear Moving Average Models," SSE/EFI Working Paper Series in Economics and Finance 95, Stockholm School of Economics.
  2. Rosenthal, J. & Schumacher, J.M. & York, E.V., 1996. "On behaviors and convolutional codes," Other publications TiSEM 1c23f564-7bce-463e-898b-6, Tilburg University, School of Economics and Management.
  3. Geerts, A.H.W. & Schumacher, J.M., 1996. "Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence," Other publications TiSEM 89d257b6-6e69-4712-8554-5, Tilburg University, School of Economics and Management.
  4. Schumacher, J.M., 1996. "[Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993]," Other publications TiSEM eb6cd3c9-cfa4-45c9-a563-1, Tilburg University, School of Economics and Management.
  5. Geerts, A.H.W. & Schumacher, J.M., 1996. "Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations," Other publications TiSEM feafa954-c509-4955-88f2-1, Tilburg University, School of Economics and Management.
  6. van der Schaft, A.J. & Schumacher, J.M., 1996. "The complementary-slackness class of hybrid systems," Other publications TiSEM fdbd7937-089c-4262-a7a9-2, Tilburg University, School of Economics and Management.
  7. van GARDEREN , Kees Jan, 1996. "Exact Geometry of Autoregressive Models," CORE Discussion Papers 1996048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1995

  1. Cevik, M.K.K. & Schumacher, J.M., 1995. "The regulator problem with robust stability," Other publications TiSEM cf41c9f4-ab93-41e9-a76a-c, Tilburg University, School of Economics and Management.
  2. Rosenthal, J. & Schumacher, J.M. & Willems, J.C., 1995. "Generic eigenvalue assignment by memoryless real output feedback," Other publications TiSEM 971c0413-f039-4eca-91a3-0, Tilburg University, School of Economics and Management.
  3. van Garderen, K.J., 1995. "Optimal prediction in loglinear models," Discussion Paper Series In Economics And Econometrics 9523, Economics Division, School of Social Sciences, University of Southampton.
  4. van Garderen, K.J., 1995. "Testing hypotheses in curved exponential models," Discussion Paper Series In Economics And Econometrics 9521, Economics Division, School of Social Sciences, University of Southampton.
  5. van Garderen, K.J., 1995. "Curved exponential models in econometrics," Discussion Paper Series In Economics And Econometrics 9508, Economics Division, School of Social Sciences, University of Southampton.
  6. van Garderen, K.J., 1995. "Variance inflation in curved exponential models," Discussion Paper Series In Economics And Econometrics 9522, Economics Division, School of Social Sciences, University of Southampton.

1994

  1. Weeren, A.J.T.M. & Schumacher, J.M. & Engwerda, J.C., 1994. "Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case," Research Memorandum FEW 634, Tilburg University, School of Economics and Management.
  2. de Does, J. & Schumacher, J.M., 1994. "Interpretations of the gap topology : a survey," Other publications TiSEM 13e6ef2b-e384-4284-8836-0, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1994. "[Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991]," Other publications TiSEM c09b5619-061c-46d7-9db7-e, Tilburg University, School of Economics and Management.
  4. Schumacher, J.M., 1994. "[Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992]," Other publications TiSEM d93ed1b3-98f6-437c-8e65-5, Tilburg University, School of Economics and Management.
  5. de Does, J. & Schumacher, J.M., 1994. "Continuity of singular perturbations in the graph topology," Other publications TiSEM 45fc5e97-e84d-4eb4-a8cd-0, Tilburg University, School of Economics and Management.

1993

  1. Kuijper, M. & Schumacher, J.M., 1993. "Input/output structure of linear differential/algebraic systems," Other publications TiSEM a20b7428-f967-455a-b80f-8, Tilburg University, School of Economics and Management.
  2. Schumacher, J.M., 1993. "Information and entropy," Other publications TiSEM 2b459f74-9bf9-42fc-80ec-1, Tilburg University, School of Economics and Management.

1992

  1. Kuijper, M. & Schumacher, J.M., 1992. "Realization and partial fractions," Other publications TiSEM 5243353a-8367-4125-be19-d, Tilburg University, School of Economics and Management.
  2. Schumacher, J.M., 1992. "A pointwise criterion for controller robustness," Other publications TiSEM e81ae511-9b41-49f5-9836-3, Tilburg University, School of Economics and Management.

1991

  1. Kuijper, M. & Schumacher, J.M., 1991. "Minimality of descriptor representations under external equivalence," Other publications TiSEM 47bb4ea8-690e-4693-ac2d-6, Tilburg University, School of Economics and Management.

1990

  1. Schumacher, J.M., 1990. "System-theoretic trends in econometrics," Research Memorandum FEW 432, Tilburg University, School of Economics and Management.
  2. Kuijper, M. & Schumacher, J.M., 1990. "Realization of autoregressive equations in pencil and descriptor form," Other publications TiSEM 3c164c8f-c092-448d-8ae7-9, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1990. "State representations of linear systems with output constraints," Other publications TiSEM 2e271918-3b8f-483c-9886-5, Tilburg University, School of Economics and Management.

1988

  1. Schumacher, J.M., 1988. "Discrete events : Perspectives from system theory," Research Memorandum FEW 354, Tilburg University, School of Economics and Management.
  2. Schumacher, J.M., 1988. "Transformations of linear systems under external equivalence," Other publications TiSEM f42a7b5c-91c0-4082-b9d2-0, Tilburg University, School of Economics and Management.
  3. Bontsema, J. & Curtain, R.F. & Schumacher, J.M., 1988. "Robust control of flexible structures : a case study," Other publications TiSEM 2b421a15-9f96-4d74-b219-3, Tilburg University, School of Economics and Management.

1987

  1. de Gooijer, J.G. & Heuts, R.M.J., 1987. "Higher order moments of bilinear time series processes with symmetrically distributed errors," Research Memorandum FEW 251, Tilburg University, School of Economics and Management.

1986

  1. Nijmeijer, H. & Schumacher, J.M., 1986. "The regular local noninteracting control problem for nonlinear control systems," Other publications TiSEM 0edd6c44-ae1e-49aa-a0e5-7, Tilburg University, School of Economics and Management.

1985

  1. Nijmeijer, H. & Schumacher, J.M., 1985. "On the inherent integration structure of nonlinear systems," Other publications TiSEM e30232ce-044f-4ec1-a4e5-e, Tilburg University, School of Economics and Management.
  2. Nijmeijer, H. & Schumacher, J.M., 1985. "Zeros at infinity for affine nonlinear control systems," Other publications TiSEM 8c161363-55ac-4a98-8728-2, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1985. "A geometric approach to the singular filtering problem," Other publications TiSEM 0e407bf8-8686-465d-9c67-4, Tilburg University, School of Economics and Management.

1984

  1. Nijmeijer, N. & Schumacher, J.M., 1984. "Les systèmes non linéaires à plus d'entrées que de sorties ne sont pas inversibles," Other publications TiSEM c632470d-d620-4ff8-9a74-0, Tilburg University, School of Economics and Management.
  2. Aling, H. & Schumacher, J.M., 1984. "A nine-fold canonical decomposition for linear systems," Other publications TiSEM 739ff20f-7b60-4ead-a966-8, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1984. "Almost stabilizability subspaces and high gain feedback," Other publications TiSEM 3ff16bef-f062-4817-b822-8, Tilburg University, School of Economics and Management.

1983

  1. Schumacher, J.M., 1983. "On the structure of strongly controllable systems," Other publications TiSEM 91b9b9c7-bdfa-441d-9766-2, Tilburg University, School of Economics and Management.
  2. Schumacher, J.M., 1983. "On a conjecture of Basile and Marro," Other publications TiSEM c55efa93-f6f8-401c-98bb-6, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1983. "The role of the dissipation matrix in singular optimal control," Other publications TiSEM c643d99a-ddb6-4f6c-a4d6-f, Tilburg University, School of Economics and Management.
  4. Schumacher, J.M., 1983. "Finite-dimensional regulators for a class of infinite-dimensional systems," Other publications TiSEM 4fdcad40-715b-434f-8917-a, Tilburg University, School of Economics and Management.
  5. Schumacher, J.M., 1983. "A direct approach to compensator design for distributed parameter systems," Other publications TiSEM 64c07d51-0d72-41c5-877e-7, Tilburg University, School of Economics and Management.
  6. Schumacher, J.M., 1983. "The algebraic regulator problem from the state-space point of view," Other publications TiSEM 5779f1b9-6092-4e3e-8daf-6, Tilburg University, School of Economics and Management.
  7. Schumacher, J.M., 1983. "Algebraic characterizations of almost invariance," Other publications TiSEM ee1735b8-04e9-48f2-8e64-b, Tilburg University, School of Economics and Management.

1982

  1. Schumacher, J.M., 1982. "Regulator synthesis using (C,A,B)-pairs," Other publications TiSEM c3a99310-ebb7-4868-8af3-2, Tilburg University, School of Economics and Management.

1980

  1. Schumacher, J.M., 1980. "On the minimal stable observer problem," Other publications TiSEM e16b7a80-04dc-407d-97e8-f, Tilburg University, School of Economics and Management.
  2. van Harten, A. & Schumacher, J.M., 1980. "Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters," Other publications TiSEM 8d6195e0-d682-4256-a2fc-3, Tilburg University, School of Economics and Management.
  3. Schumacher, J.M., 1980. "A complement on pole placement," Other publications TiSEM b2551d06-13c0-49ba-857d-8, Tilburg University, School of Economics and Management.
  4. Schumacher, J.M., 1980. "Compensator synthesis using (C,A,B)-pairs," Other publications TiSEM 7388dba7-dc63-42d5-bdfe-3, Tilburg University, School of Economics and Management.

Undated

  1. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, . "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.

Journal articles

2016

  1. Berend Roorda & Johannes Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.

2015

  1. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2015. "Expected utility and catastrophic consumption risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 306-312.
  2. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
  3. Eeckhoudt, Louis R. & Laeven, Roger J.A., 2015. "The probability premium: A graphical representation," Economics Letters, Elsevier, vol. 136(C), pages 39-41.

2014

  1. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  2. Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014. "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, vol. 183(2), pages 151-167.
  3. van Garderen, Kees Jan & Peter Boswijk, H., 2014. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," Economics Letters, Elsevier, vol. 122(2), pages 224-228.

2013

  1. Diks, Cees & Hommes, Cars & Zeppini, Paolo, 2013. "More memory under evolutionary learning may lead to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 808-812.
  2. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  3. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013. "Pareto utility," Theory and Decision, Springer, vol. 75(1), pages 43-57, July.
  4. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
  5. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.

2012

  1. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(1), pages 23-44, March.
  2. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
  3. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.

2011

  1. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  2. De Gooijer, Jan G. & Yuan, Ao, 2011. "Some exact tests for manifest properties of latent trait models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 34-44, January.
  3. Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2011. "Efficient Estimation of an Additive Quantile Regression Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 46-62, 03.
  4. Roorda, Berend & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.
  5. Würth, Andreas & Schumacher, J.M., 2011. "Risk aversion for nonsmooth utility functions," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 109-128, March.
  6. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.

2010

  1. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
  2. Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1201-1214, June.
  3. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
  4. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "A note on additive risk measures in rank-dependent utility," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 187-189, October.
  5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.

2009

  1. An Chen & Xia Su, 2009. "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 13-33, May.
  2. Dai, Renxiang & Schumacher, J.M., 2009. "Welfare analysis of conditional indexation schemes from a two-reference-point perspective," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(03), pages 321-350, July.
  3. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
  4. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
  5. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
  6. Schluter, Christian & van Garderen, Kees Jan, 2009. "Edgeworth expansions and normalizing transforms for inequality measures," Journal of Econometrics, Elsevier, vol. 150(1), pages 16-29, May.
  7. Broda, S. & Paolella, M.S., 2009. "Evaluating the density of ratios of noncentral quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1264-1270, February.
  8. Simon Broda & Kai Carstensen & Marc Paolella, 2009. "Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 468-494.
  9. Simon A. Broda & Marc S. Paolella, 2009. "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(4), pages 412-436, Fall.

2008

  1. Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1432-1465, May.
  2. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008. "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Society for Computational Economics, vol. 32(1), pages 221-244, September.
  3. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, vol. 30(5), pages 2673-2685, September.
  4. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
  5. Diks Cees & Panchenko Valentyn, 2008. "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-21, March.
  6. Jan Gooijer, 2008. "Partial sums of lagged cross-products of AR residuals and a test for white noise," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 567-584, November.
  7. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
  8. Chen, An, 2008. "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1035-1049, June.
  9. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
  10. Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 540-547, April.
  11. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386.

2007

  1. Jan G. De Gooijer, 2007. "Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(4), pages 371-381.
  2. Ao Yuan & Jan G. De Gooijer, 2007. "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 841-869.
  3. Chen, An & Suchanecki, Michael, 2007. "Default risk, bankruptcy procedures and the market value of life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 231-255, March.
  4. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  5. Broda, Simon & Paolella, Marc S., 2007. "Saddlepoint approximations for the doubly noncentral t distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2907-2918, March.
  6. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.

2006

  1. Diks, Cees, 2006. "Comments on "Global sunspots in OLG models"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 46-50, March.
  2. Bullard, Jim & Diks, Cees & Wagener, Florian, 2006. "Computing in economics and finance," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1441-1444.
  3. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
  4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  5. De Gooijer, Jan G., 2006. "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1892-1903, December.
  6. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 25, July.

2005

  1. Diks, Cees & van der Weide, Roy, 2005. "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 741-763, April.
  2. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-9, June.
  3. Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005. "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, vol. 21(4), pages 623-625.
  4. Jan G. De Gooijer & Antoni Vidiella-i-Anguera, 2005. "Estimating threshold cointegrated systems," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-7.
  5. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.
  6. Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom, 2005. "Some asymptotic results for sums of dependent random variables, with actuarial applications," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 154-172, October.

2004

  1. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
  2. Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
  3. De Gooijer, Jan G., 2004. "Editorial Announcement," International Journal of Forecasting, Elsevier, vol. 20(4), pages 523-524.
  4. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.
  5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004. "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 581-594, December.

2003

  1. Diks, Cees, 2003. "Detecting serial dependence in tail events: a test dual to the BDS test," Economics Letters, Elsevier, vol. 79(3), pages 319-324, June.
  2. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003. "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 3-18, February.
  3. De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February.
  4. Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176.
  5. De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
  6. Taniguchi, Masanobu & van Garderen, Kees Jan & Puri, Madan L., 2003. "Higher Order Asymptotic Theory For Minimum Contrast Estimators Of Spectral Parameters Of Stationary Processes," Econometric Theory, Cambridge University Press, vol. 19(06), pages 984-1007, December.

2002

  1. Diks Cees & Manzan Sebastiano, 2002. "Tests for Serial Independence and Linearity Based on Correlation Integrals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-22, July.
  2. De Gooijer, Jan G., 2002. "Introduction to forecasting decisions in conflict situations," International Journal of Forecasting, Elsevier, vol. 18(3), pages 319-320.
  3. De Gooijer, Jan G. & Gannoun, Ali & Zerom, Dawit, 2002. "Mean squared error properties of the kernel-based multi-stage median predictor for time series," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 51-56, January.
  4. Kees Jan Van Garderen & Chandra Shah, 2002. "Exact interpretation of dummy variables in semilogarithmic equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 149-159, June.

2001

  1. van Garderen, Kees Jan, 2001. "Optimal prediction in loglinear models," Journal of Econometrics, Elsevier, vol. 104(1), pages 119-140, August.

2000

  1. Gooijer, Jan G. De & Gannoun, Ali, 2000. "Nonparametric conditional predictive regions for time series," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 259-275, May.
  2. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, vol. 95(2), pages 285-331, April.

1999

  1. De Gooijer, Jan G & MacNeill, Ian B, 1999. "Lagged Regression Residuals and Serial-Correlation Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 236-47, April.
  2. Weeren, A. J. T. M. & Schumacher, J. M. & Engwerda, J. C., 1999. "Strategic behavior and noncooperative hierarchical control," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 641-669, February.

1998

  1. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 513-534, June.
  2. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 7-14, January.

1997

  1. De Gooijer, Jan G. & Franses, Philip Hans, 1997. "Forecasting and seasonality," International Journal of Forecasting, Elsevier, vol. 13(3), pages 303-305, September.
  2. van Garderen, Kees Jan, 1997. "Curved Exponential Models in Econometrics," Econometric Theory, Cambridge University Press, vol. 13(06), pages 771-790, December.

1996

  1. Akman, Ibrahim & De Gooijer, Jan G., 1996. "Component extraction analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 21(5), pages 487-499, May.

1995

  1. De Gooijer, Jan G., 1995. "Oliver Duncan Anderson: 1940-1995," International Journal of Forecasting, Elsevier, vol. 11(1), pages 195-196, March.

1993

  1. de Gooijer, Jan G., 1993. "Nonlinear dynamics, chaos, and instability : William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6," International Journal of Forecasting, Elsevier, vol. 9(1), pages 134-135, April.
  2. De Gooijer, Jan G., 1993. "On predictive least squares principles : C.Z. Wei, The Annals of Statistics 20 (1992), 1-42," International Journal of Forecasting, Elsevier, vol. 9(1), pages 138-139, April.

1992

  1. Ruijgrok, Th. & Diks, C., 1992. "Quasicrystalline polymers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 183(1), pages 51-53.
  2. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, vol. 8(2), pages 135-156, October.
  3. de Gooijer, Jan G. & Klein, Andre, 1992. "On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes," International Journal of Forecasting, Elsevier, vol. 7(4), pages 501-513, March.
  4. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer;The Psychometric Society, vol. 57(3), pages 333-349, September.

1990

  1. de Gooijer, Jap G., 1990. "The role of time series analysis in forecasting: A personal view," International Journal of Forecasting, Elsevier, vol. 6(4), pages 449-451, December.

1989

  1. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, vol. 31(1), pages 31-35.

1980

  1. De Gooijer, Jan G., 1980. "Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1," Journal of Econometrics, Elsevier, vol. 14(3), pages 365-379, December.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.