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Details about Charles Bos

E-mail:
Homepage:http://personal.vu.nl/c.s.bos/
Phone:+31 20 598 60 23
Postal address:Dept. of Econometrics & O.R. Vrije Universiteit Amsterdam De Boelelaan 1105 1081 HV Amsterdam The Netherlands
Workplace:Afdeling Econometrie (Department of Econometrics), Faculteit der Economische Wetenschappen en Bedrijfskunde (Faculty of Economic Sciences, Business Administration and Econometrics), Vrije Universiteit (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Charles Bos.

Last updated 2015-07-23. Update your information in the RePEc Author Service.

Short-id: pbo94


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Working Papers

2013

  1. A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2011

  1. A Bayesian Analysis of Unobserved Component Models using Ox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Relating Stochastic Volatility Estimation Methods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2010

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

2009

  1. Does the Canadian Economy suffer from Dutch Disease?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg (2009) Downloads View citations (8)

    See also Journal Article in Resource and Energy Economics (2012)
  2. Spot Variance Path Estimation and its Application to High Frequency Jump Testing
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2012)

2008

  1. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2007

  1. Dynamic Correlations and Optimal Hedge Ratios
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (2)
  3. The impact of Central Bank FX interventions on currency components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations (2)

    See also Journal Article in Journal of Financial Econometrics (2007)

2004

  1. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2004) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2006)

2003

  1. Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

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

2002

  1. A Comparison of Marginal Likelihood Computation Methods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
  3. 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 Downloads View citations (3)
  4. Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2001

  1. Daily Exchange Rate Behaviour and Hedging of Currency Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (12)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (11)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2000)
  2. Inflation, Forecast Intervals and Long Memory Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article in International Journal of Forecasting (2002)
  3. On the Variation of Hedging Decisions in Daily Currency Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (1)

2000

  1. 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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (6)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (6)

1998

  1. Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
  2. Long Memory and Level Shifts: Re-Analyzing Inflation Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998) Downloads

    See also Journal Article in Empirical Economics (1999)

Journal Articles

2014

  1. Long memory with stochastic variance model: A recursive analysis for US inflation
    Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 Downloads View citations (4)

2012

  1. Does the Canadian economy suffer from Dutch disease?
    Resource and Energy Economics, 2012, 34, (4), 468-492 Downloads View citations (17)
    See also Working Paper (2009)
  2. Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
    Journal of Financial Econometrics, 2012, 10, (2), 354-389 Downloads View citations (6)
    See also Working Paper (2009)

2007

  1. The Impact of Central Bank FX Interventions on Currency Components
    Journal of Financial Econometrics, 2007, 5, (1), 154-183 Downloads View citations (7)
    See also Working Paper (2007)

2006

  1. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Econometric Reviews, 2006, 25, (2-3), 219-244 Downloads View citations (14)
    See also Working Paper (2004)

2005

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

2004

  1. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 Downloads View citations (13)
    See also Working Paper (2003)
  2. State Space Models With a Common Stochastic Variance
    Journal of Business & Economic Statistics, 2004, 22, 346-357 Downloads View citations (11)
  3. Time Series Modelling using TSMod 3.24
    International Journal of Forecasting, 2004, 20, (3), 515-522 Downloads View citations (1)
    See also Working Paper (2003)

2002

  1. Inflation, forecast intervals and long memory regression models
    International Journal of Forecasting, 2002, 18, (2), 243-264 Downloads View citations (29)
    See also Working Paper (2001)

2000

  1. Daily exchange rate behaviour and hedging of currency risk
    Journal of Applied Econometrics, 2000, 15, (6), 671-696 Downloads View citations (16)
    See also Working Paper (2001)

1999

  1. Long memory and level shifts: Re-analyzing inflation rates
    Empirical Economics, 1999, 24, (3), 427-449 Downloads View citations (78)
    See also Working Paper (1998)
 
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