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DateTitle Authors
2011 Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange IndexBillio, Monica / Casarin, Roberto / Ravazzolo, Francesco / van Dijk, Herman K.
2008 Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic VolatilityBos, Charles S.
2008 Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance SamplingHoogerheide, Lennart / van Dijk, Herman K.
2010 Efficient Bayesian Estimation and Combination of GARCH-Type ModelsArdia, David / Hoogerheide, Lennart F.
2010 Forecasting with DSGE ModelsCoenen, Günter / Christoffel, Kai / Warne, Anders
2010 Flexible and robust modelling of volatility comovements: a comparison of two multifractal modelsLiu, Ruipeng / Lux, Thomas
2010 Multivariate Wishart Stochastic Volatility ModelsGribisch, Bastian / Liesenfeld, Roman
2011 A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart / Opschoor, Anne / van Dijk, Herman K.
2008 Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap RiskStrachan, Rodney W. / van Dijk, Herman K.
2008 Possibly Ill-behaved Posteriors in Econometric ModelsHoogerheide, Lennart / van Dijk, Herman K.

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