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Browsing All of EconStor by Author Hoogerheide, Lennart


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Year of PublicationTitleAuthor(s)
2008Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance SamplingHoogerheide, Lennart; van Dijk, Herman K.
2008Possibly Ill-behaved Posteriors in Econometric ModelsHoogerheide, Lennart; van Dijk, Herman K.
2009Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying WeightHoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno
2009Education and Entrepreneurial Choice: An Instrumental Variables AnalysisBlock, Joern H.; Hoogerheide, Lennart; Thurik, Roy
2009Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying WeightsHoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno
2009To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal LikelihoodsArdia, David; Hoogerheide, Lennart; van Dijk, Herman K.
2010Are Education and Entrepreneurial Income Endogenous and do Family Background Variables make Sense as Instruments? A Bayesian AnalysisBlock, Joern H.; Hoogerheide, Lennart; Thurik, Roy
2010Family Background Variables as Instruments for Education in Income Regressions: A Bayesian AnalysisHoogerheide, Lennart; Block, Joern H.; Thurik, Roy
2010A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal LikelihoodsArdia, David; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2011A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2011Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte CarloZellner, Arnold; Ando, Tomohiro; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2012Bayesian analysis of instrumental variable models: The potential of direct Monte CarloZellner, Arnold; Ando, Tomohiro; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2012A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive SimulationHoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2012Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte CarloZellner, Arnold (posthumously); Ando, Tomohiro; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2012The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust SimulationBasturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2012Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space ModelsBarra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, Andre
2013GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall ForecastsArdia, David; Hoogerheide, Lennart
2013Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk EstimationGatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; van Dijk, Herman K.
2014Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space ModelsBarra, István; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, André
2014Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock PricesGatarek, Lukasz; Hoogerheide, Lennart; van Dijk, Herman K.
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