Tinbergen Institute Discussion Papers

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20140110: Cocos, Contagion and Systemic Risk

Stephanie Chan and Sweder van Wijnbergen

20140109: The Stature of the Self-employed and its Premium

Cornelius A. Rietveld, Jolanda Hessels and Peter van der Zwan

20140108: Technological Change during the Energy Transition

Gerard van der Meijden and Sjak Smulders

20140107: Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg

20140106: Volatility Spillovers from Australia's Major Trading Partners across the GFC

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

20140105: Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Francisco Blasques, Siem Jan Koopman and Max Mallee

20140104: The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Jan Dhaene, Ben Stassen, Pierre Devolder and Michel Vellekoop

20140103: Optimal Formulations for Nonlinear Autoregressive Processes

Francisco Blasques, Siem Jan Koopman and Andre Lucas

20140102: Mortality Effects of Containing Moral Hazard: Evidence from Disability Insurance Reform

Pilar Garcia-Gomez and Anne Gielen

20140101: Welfare Benefits of Agglomeration and Worker Heterogeneity

C. N. Teulings, Ioulia Ossokina and Henri de Groot

20140100: Carbon Lock-In: The Role of Expectations

Gerard van der Meijden and Sjak Smulders

20140099: Price Differentiation and Discrimination in Transport Networks

Adriaan van der Weijde

20140098: The Formation of a Core Periphery Structure in Heterogeneous Financial Networks

Marco van der Leij, Daan in 't Veld and Cars Hommes

20140097: Need for Speed? Exchange Latency and Liquidity

Albert Menkveld and Marius Zoican

20140096: On the Invertibility of EGARCH

Guillaume Gaetan Martinet and Michael McAleer

20140095: The Industrial Organisation of the Dance Industry in the Netherlands: a Transaction Cost Perspective on Hybrid Forms of Organisation

Frank Den Butter and Jelle Joustra

20140094: Former Foreign Affiliates: Cast Out and Outperformed?

Beata Javorcik and Steven Poelhekke

20140093: Location Choices of highly Educated Foreign Workers: the Importance of Urban Amenities

Or Levkovich and Jan Rouwendal

20140092: Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting

Andre Lucas and Xin Zhang

20140091: Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males

Geert Mesters, Victor van der Geest and Catrien Bijleveld

20140090: Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities

Anne Opschoor, Dick van Dijk and Michel van der Wel

20140089: Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs

Matthias Weber, Martin Schumacher and Harald Binder

20140088: Estimating the Skill Bias in Agglomeration Externalities and Social Returns to Education: Evidence from Dutch Matched Worker-Firm Micro-data

Stefan P.T. Groot and Henri de Groot

20140087: A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Christian Hafner and Michael McAleer

20140086: Transfers and Exchange-Stability in Two-Sided Matching Problems

Emiliya Lazarova, Peter Borm and Arantza Estévez-Fernández

20140085: On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Nalan Baştürk, Cem Cakmakli, Sanli Ceyhan Darendeli and Herman van Dijk

20140084: Does Access to Foreign Markets shape Internal Migration? Evidence from Brazil

Laura Hering and Rodrigo Paillacar

20140083: The Impact of Losing in a Competition on the Willingness to seek Further Challenges

Thomas Buser

20140082: Financial Distress and Happiness of Employees in Times of Economic Crisis

Efstratia Arampatzi, Martijn Burger and Ruut Veenhoven

20140081: How Diverse can Spatial Measures of Cultural Diversity be? Results from Monte Carlo Simulations on an Agent-Based Model

Daniel Arribas-Bel, Peter Nijkamp and Jacques Poot

20140080: Prices, Product Differentiation, and Heterogeneous Search Costs

Jose Moraga-Gonzalez, Zsolt Sándor and Matthijs Wildenbeest

20140079: Mutual Funds and Information Diffusion: The Role of Country-Level Governance

Chunmei Lin, Massimo Massa and Hong Zhang

20140078: Probabilistic Choice and Congestion Pricing with Heterogeneous Travellers and Price-Sensitive Demand

Paul Koster, Erik Verhoef, Simon Shepherd and David Watling

20140077: On the Existence and Uniqueness of Equilibrium in the Bottleneck Model with Atomic Users

Hugo Emilio Silva, Charles Lindsey, André de Palma and Vincent van den Berg

20140076: Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview

Shawkat Hammoudeh and Michael McAleer

20140075: Asymmetric Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

20140074: Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

Francisco Blasques, Siem Jan Koopman and Andre Lucas

20140073: New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Pawel Janus, Andre Lucas, Anne Opschoor and Dick van Dijk

20140072: Time Varying Transition Probabilities for Markov Regime Switching Models

Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas

20140071: A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area

Geert Mesters, Bernd Schwaab and Siem Jan Koopman

20140070: Common Risk Factors in Equity Markets

Victoria Atanasov

20140069: A One Line Derivation of EGARCH

Michael McAleer and Christian Hafner

20140068: Survival Analysis of very Low Birth Weight Infant Mortality in Taiwan

Chia-Lin Chang, Wei-Chen Chen and Michael McAleer

20140067: Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes

Francine Gresnigt, Erik Kole and Philip Hans Franses

20140066: Cultural Diversity and Cultural Distance as Choice Determinants of Migration Destination

Zhiling Wang, Thomas Graaff and Peter Nijkamp

20140065: Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

Albert Menkveld

20140064: Welfare Effects of Distortionary Tax Incentives under Preference Heterogeneity: An Application to Employer-provided Electric Cars

Alexandros Dimitropoulos, Jos van Ommeren, Paul Koster and Piet Rietveld

20140063: Bidding for Nothing? The Pitfalls of overly Neutral Framing

Peter Dürsch and Julia Müller

20140062: Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations

Chia-Lin Chang and Michael McAleer

20140061: Empirical Bayes Methods for Dynamic Factor Models

Siem Jan Koopman and Geert Mesters

20140060: A Tourism Financial Conditions Index

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

20140059: Does Competition make Banks more Risk-seeking?

Stefan Arping

20140058: Mostly Sunny: A Forecast of Tomorrow's Power Index Research

Sascha Kurz, Nicola Maaser, Stefan Napel and Matthias Weber

20140057: Bayesian D-Optimal Choice Designs for Mixtures

Aiste Ruseckaite, Peter Goos and Dennis Fok

20140056: Testing for Distortions in Performance Measures: An Application to Residual Income Based Measures like Economic Value Added

Randolph Sloof and Mirjam Praag

20140055: Entrepreneurial Couples

Michael Dahl, Mirjam Praag and Peter Thompson

20140054: Risk Measurement and Risk Modelling using Applications of Vine Copulas

David Allen, Michael McAleer and Abhay K. Singh

20140053: Ability Dispersion and Team Performance

Sander Hoogendoorn, Simon Parker and Mirjam Praag

20140052: On an Estimation Method for an Alternative Fractionally Cointegrated Model

Federico Carlini and Katarzyna Łasak

20140051: Peers at Work: From the Field to the Lab

Roel van Veldhuizen, Hessel Oosterbeek and Joep Sonnemans

20140050: The Effect of Railway Travel on Urban Spatial Structure

Martijn Dröes and Piet Rietveld

20140049: Cultural Heritage and the Attractiveness of Cities: Evidence from Recreation Trips

Ruben van Loon, Tom Gosens and Jan Rouwendal

20140048: Are CEOs incentivized to avoid Corporate Taxes? - Empirical Evidence on Managerial Bonus Contracts

Heiner Schmittdiel

20140047: The Value of Proximity to Water in Residential Areas

Jan Rouwendal, Ramona van Marwijk and Or Levkovich

20140046: Information Theoretic Optimality of Observation Driven Time Series Models

Francisco Blasques, Siem Jan Koopman and Andre Lucas

20140045: A Field Experiment in Motivating Employee Ideas

Susanne Neckermann, Michael Gibbs and Christoph Siemroth

20140044: Sadder but wiser: The Effects of Affective States and Weather on Ambiguity Attitudes

Aurelien Baillon, Philipp Koellinger and Theresa Treffers

20140043: Knowing that You Matter, Matters! The Interplay of Meaning, Monetary Incentives, and Worker Recognition

Michael Kosfeld, Susanne Neckermann and Xiaolan Yang

20140042: Choosing Voting Systems behind the Veil of Ignorance: A Two-Tier Voting Experiment

Matthias Weber

20140041: Functional and Sectoral Division of Labour within Central and Eastern European Countries: Evidence from Greenfield FDI

Teodora Dogaru, Martijn Burger, Bas Karreman and Frank Oort

20140040: Insurance, Entrepreneurial Start-Up, and Performance

Mette Ejrnæs and Stefan Hochguertel

20140039: Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Lukasz Gatarek, Lennart Hoogerheide and Herman van Dijk

20140038: Audit Rates and Compliance: A Field Experiment in Long-term Care

Maarten Lindeboom, Bas van der Klaauw and Sandra Vriend

20140037: Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

Manabu Asai and Michael McAleer

20140036: The Impact of Matching Mission Preferences on Well-being at Work

Robin Zoutenbier

20140035: Shadow Banking and Traditional Bank Lending: The Role of Implicit Guarantees

Lucyna Gornicka

20140034: Task-specific Human Capital and Organizational Inertia

Josse Delfgaauw and Otto Swank

20140033: The Great Divergence: A Network Approach

Ines Lindner and Holger Strulik

20140032: The Dynamic Skellam Model with Applications

Siem Jan Koopman, Rutger Lit and Andre Lucas

20140031: The Magnitude and Distance Decay of Trade in Goods and Services: New Evidence for European Countries

Martijn Burger, Mark Thissen, Frank Oort and Dario Diodato

20140030: Nontransferable Utility Bankruptcy Games

Arantza Estévez-Fernández, Peter Borm and M. Gloria Fiestras-Janeiro

20140029: Maximum Likelihood Estimation for Score-Driven Models

Francisco Blasques, Siem Jan Koopman and Andre Lucas

20140028: A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

David Ardia, Lukasz Gatarek and Lennart F. Hoogerheide

20140027: Intraday Price Discovery in Fragmented Markets

Sait Ozturk and Michel van der Wel

20140026: Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations

Chia-Lin Chang and Michael McAleer

20140025: Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay

Michael McAleer

20140024: A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

Carsten Bormann, Melanie Schienle and Julia Schaumburg

20140023: Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences

Chia-Lin Chang and Michael McAleer

20140022: Optimal Hedging with the Vector Autoregressive Model

Lukasz Gatarek and Soren Johansen

20140021: Fractional Cointegration Rank Estimation

Katarzyna Łasak and Carlos Velasco

20140020: What Clients want: Choices between Lawyers' Offerings

Flora Felso, Sander Onderstal and Jo Seldeslachts

20140019: Solving the Inverse Power Problem in Two-Tier Voting Settings

Matthias Weber

20140018: The Effects of Liquidity Regulation on Bank Assets and Liabilities

Patty Duijm and Peter Wierts

20140017: Don't demotivate, discriminate

Jurjen Kamphorst and Otto Swank

20140016: Auctioning and Selling Positions: A Non-cooperative Approach to Queuing Conflicts

Rene van den Brink, Youngsub Chun and Yuan Ju

20140015: How Risk Sharing may enhance Efficiency in English Auctions

Audrey Hu, Theo Offerman and Liang Zou

20140014: Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series

David Allen, Michael McAleer and Abhay K. Singh

20140013: A Simple Model of Group Selection that cannot be analyzed with Inclusive Fitness

Matthijs van Veelen, Shishi Luo and Burton Simon

20140012: The Causal Links between Aid and Government Expenditures

Lukasz Marc

20140011: Skill Variety, Innovation and New Business Formation

Jolanda Hessels, Udo Brixy, Wim Naudé and Thomas Gries