Details about Charles Bos

Access statistics for papers by Charles Bos.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pbo94

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Post-Print, HAL (2021)
   Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2021

2. Market power in California's water market
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   See also Journal Article Market power in California's water market, American Journal of Agricultural Economics, John Wiley & Sons (2024) (2024)
3. Market power in California’s water market
   Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (1)

2013

4. A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2011

5. A Bayesian Analysis of Unobserved Component Models using Ox
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   See also Journal Article A Bayesian Analysis of Unobserved Component Models Using Ox, Journal of Statistical Software, Foundation for Open Access Statistics (2011) View citations (5) (2011)
6. Relating Stochastic Volatility Estimation Methods
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2010

7. Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2009

8. Does the Canadian Economy suffer from Dutch Disease?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
   Also in DEM Discussion Paper Series, Department of Economics at the University of Luxembourg (2009) View citations (17)
   See also Journal Article Does the Canadian economy suffer from Dutch disease?, Resource and Energy Economics, Elsevier (2012) View citations (52) (2012)
9. Spot Variance Path Estimation and its Application to High Frequency Jump Testing
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   See also Journal Article Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing, Journal of Financial Econometrics, Oxford University Press (2012) View citations (15) (2012)

2008

10. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

2007

11. Dynamic Correlations and Optimal Hedge Ratios
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
12. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)
13. The impact of Central Bank FX interventions on currency components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (2)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
    See also Journal Article The Impact of Central Bank FX Interventions on Currency Components, Journal of Financial Econometrics, Oxford University Press (2007) View citations (12) (2007)

2004

14. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (13)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
    See also Journal Article Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, Journal of Econometrics, Elsevier (2004) View citations (20) (2004)
15. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2004) View citations (2)
    See also Journal Article Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Econometric Reviews, Taylor & Francis Journals (2006) View citations (21) (2006)

2003

16. Explaining Adaptive Radial-Based Direction Sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
17. Time Series Modelling using TSMod 3.24
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Time Series Modelling using TSMod 3.24, International Journal of Forecasting, Elsevier (2004) View citations (2) (2004)

2002

18. A Comparison of Marginal Likelihood Computation Methods
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
19. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
20. Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
21. Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2001

22. Daily Exchange Rate Behaviour and Hedging of Currency Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (25)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (19)
    See also Journal Article Daily exchange rate behaviour and hedging of currency risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2000) View citations (21) (2000)
23. Inflation, Forecast Intervals and Long Memory Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
    See also Journal Article Inflation, forecast intervals and long memory regression models, International Journal of Forecasting, Elsevier (2002) View citations (42) (2002)
24. On the Variation of Hedging Decisions in Daily Currency Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (2)

2000

25. ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (16)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (16)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (14)

1998

26. Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
27. Long Memory and Level Shifts: Re-Analyzing Inflation Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
    See also Journal Article Long memory and level shifts: Re-analyzing inflation rates, Empirical Economics, Springer (1999) View citations (98) (1999)

Journal Articles

2024

1. Market power in California's water market
   American Journal of Agricultural Economics, 2024, 106, (3), 1274-1299
   See also Working Paper Market power in California's water market, Tinbergen Institute Discussion Papers (2021) View citations (1) (2021)
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2014

3. Long memory with stochastic variance model: A recursive analysis for US inflation
   Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 View citations (13)

2012

4. Does the Canadian economy suffer from Dutch disease?
   Resource and Energy Economics, 2012, 34, (4), 468-492 View citations (52)
   See also Working Paper Does the Canadian Economy suffer from Dutch Disease?, Tinbergen Institute Discussion Papers (2009) View citations (10) (2009)
5. Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
   Journal of Financial Econometrics, 2012, 10, (2), 354-389 View citations (15)
   See also Working Paper Spot Variance Path Estimation and its Application to High Frequency Jump Testing, Tinbergen Institute Discussion Papers (2009) View citations (1) (2009)

2011

6. A Bayesian Analysis of Unobserved Component Models Using Ox
   Journal of Statistical Software, 2011, 041, (i13) View citations (5)
   See also Working Paper A Bayesian Analysis of Unobserved Component Models using Ox, Tinbergen Institute Discussion Papers (2011) View citations (2) (2011)

2007

7. The Impact of Central Bank FX Interventions on Currency Components
   Journal of Financial Econometrics, 2007, 5, (1), 154-183 View citations (12)
   See also Working Paper The impact of Central Bank FX interventions on currency components, ULB Institutional Repository (2007) View citations (12) (2007)

2006

8. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
   Econometric Reviews, 2006, 25, (2-3), 219-244 View citations (21)
   See also Working Paper Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Economics Papers (2004) View citations (2) (2004)

2005

9. On model selection criteria as a starting point for sequential detection of non-linearity
   International Journal of Forecasting, 2005, 21, (4), 749-754

2004

10. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 View citations (20)
    See also Working Paper Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, LIDAM Reprints CORE (2004) View citations (13) (2004)
11. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 View citations (15)
12. Time Series Modelling using TSMod 3.24
    International Journal of Forecasting, 2004, 20, (3), 515-522 View citations (2)
    See also Working Paper Time Series Modelling using TSMod 3.24, Tinbergen Institute Discussion Papers (2003) (2003)

2002

13. Inflation, forecast intervals and long memory regression models
    International Journal of Forecasting, 2002, 18, (2), 243-264 View citations (42)
    See also Working Paper Inflation, Forecast Intervals and Long Memory Regression Models, Tinbergen Institute Discussion Papers (2001) View citations (12) (2001)

2000

14. Daily exchange rate behaviour and hedging of currency risk
    Journal of Applied Econometrics, 2000, 15, (6), 671-696 View citations (21)
    See also Working Paper Daily Exchange Rate Behaviour and Hedging of Currency Risk, Tinbergen Institute Discussion Papers (2001) (2001)

1999

15. Long memory and level shifts: Re-analyzing inflation rates
    Empirical Economics, 1999, 24, (3), 427-449 View citations (98)
    See also Working Paper Long Memory and Level Shifts: Re-Analyzing Inflation Rates, Tinbergen Institute Discussion Papers (1998) (1998)