Tinbergen Institute Discussion Papers

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20130093: Order Monotonic Solutions for Generalized Characteristic Functions

Rene van den Brink, Enrique González-Aranguena, Conrado Manuel and Mónica del Pozo

20130092: Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

20130091: Flexible Pension Take-up in Social Security

Yvonne Adema, Jan Bonenkamp and Lex Meijdam

20130090: Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data

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

20130089: Road Congestion and Incident Duration

Martin W. Adler, Jos van Ommeren and Piet Rietveld

20130088: Behavioural Real Estate

Diego A. Salzman and Remco Zwinkels

20130087: Sukuk Defaults: On Distress Resolution in Islamic Finance

Sweder van Wijnbergen and Sajjad Zaheer

20130086: Herding, Information Cascades and Volatility Spillovers in Futures Markets

Michael McAleer and Kim Radalj

20130085: Risk Modelling and Management: An Overview

Chia-Lin Chang, David Allen, Michael McAleer and Teodosio Perez Amaral

20130084: Towards a General Theory of Mixed Zones: The Role of Congestion

Yuval Kantor, Piet Rietveld and Jos van Ommeren

20130083: Congestible Goods and Hoarding: A Test based on Students' Use of University Computers

Martijn B.W. Kobus, Jos van Ommeren, Hans Koster and Piet Rietveld

20130082: A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Bernd Heidergott and Warren Volk-Makarewicz

20130081: Robust Ranking of Journal Quality: An Application to Economics

Chia-Lin Chang, Esfandiar Maasoumi and Michael McAleer

20130080: The Structure of Firm-Specific Labour Unions

Thorsten Upmann and Julia Müller

20130079: Other-regarding Preferences, Group Identity and Political Participation: An Experiment

Pedro Robalo, Arthur Schram and Joep Sonnemans

20130078: Ten Things you should know about the Dynamic Conditional Correlation Representation

Massimiliano Caporin and Michael McAleer

20130077: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Michael McAleer, John Suen and Wing-Keung Wong

20130076: Health Inequalities through the Lens of Health Capital Theory: Issues, Solutions, and Future Directions

Titus Galama and Hans van Kippersluis

20130075: Commuters' Preferences for Fast and Reliable Travel

Paul Koster and Hans Koster

20130074: Changing with the Tide: Semi-Parametric Estimation of Preference Dynamics

Thijs Dekker, Paul Koster and Roy Brouwer

20130073: Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Manabu Asai, Massimiliano Caporin and Michael McAleer

20130072: Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

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

20130071: Taking Punishment into Your Own Hands: An Experiment

Peter Duersch and Julia Müller

20130070: GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

Juan Jimenez-Martin, Michael McAleer, Teodosio Perez Amaral and Paulo Araujo Santos

20130069: Modelling and Simulation: An Overview

Michael McAleer, Felix Chan and Les Oxley

20130068: Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Eran Raviv, Kees E. Bouwman and Dick van Dijk

20130067: Universal Coverage on a Budget: Impacts on Health Care Utilization and Out-Of-Pocket Expenditures in Thailand

Supon Limwattananon, Sven Neelsen, Owen O'Donnell, Phusit Prakongsai, Viroj Tangcharoensathien and Eddy Van Doorslaer

20130066: The Impact of Scoring Weights on Price and Quality Outcomes: An Application to the Procurement of Welfare-to-Work Contracts

Pierre Koning and Arthur van de Meerendonk

20130065: Using Preferred Outcome Distributions to estimate Value and Probability Weighting Functions in Decisions under Risk

Bas Donkers, Carlos J.S. Lourenco, Benedict Dellaert and Daniel Goldstein

20130064: Optimal Fiscal Policy

Jasper Lukkezen and C. N. Teulings

20130063: Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Andre Lucas, Bernd Schwaab and Xin Zhang

20130062: Solution-Driven Specification of DSGE Models

Francisco Blasques

20130061: Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Cees Diks, Valentyn Panchenko, Oleg Sokolinskiy, and Dick van Dijk

20130060: Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation

Lukasz Gatarek, Lennart Hoogerheide, Koen Hooning and Herman van Dijk

20130059: Residential Parking Permits and Parking Supply

Jos van Ommeren, Jesper de Groote and Giuliano Mingardo

20130058: Quantifying Productivity Gains from Foreign Investment

Christian Fons-Rosen, Sebnem Kalemli-Ozcan, Bent Sorensen, Carolina Villegas-Sanchez and Vadym Volosovych

20130057: Analyzing Fixed-Event Forecast Revisions

Chia-Lin Chang, Bert de Bruijn, Philip Hans Franses and Michael McAleer

20130056: The User Costs of Air Travel Delay Variability

Paul Koster, Eric Pels and Erik Verhoef

20130055: Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk

20130054: On the Phase Dependence in Time-Varying Correlations Between Time-Series

Francisco Blasques

20130053: Saving Private Pareto

Harold Houba, Roland Iwan Luttens and Hans-Peter Weikard

20130052: Long Term Government Debt, Financial Fragility and Sovereign Default Risk

Christiaan van der Kwaak and Sweder van Wijnbergen

20130051: Asymmetric Nash Solutions in the River Sharing Problem

Harold Houba, Gerard van der Laan and Yuyu Zeng

20130049: Are Forecast Updates Progressive?

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

20130048: Ten Things you should know about DCC

Massimiliano Caporin and Michael McAleer

20130047: GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

David Ardia and Lennart Hoogerheide

20130046: Democracy and Regulation: The Effects of Electoral Competition on Infrastructure Investments

Arthur Schram and Aljaz Ule

20130045: In Defense of Trusts: R&D Cooperation in Global Perspective

Jeroen Hinloopen, Grega Smrkolj and Florian Wagener

20130044: Education and Health: The Role of Cognitive Ability

Govert Bijwaard, Hans van Kippersluis and Justus Veenman

20130043: Strategies and Evolution in the Minority Game: A Multi- Round Strategy Experiment

Jona Linde, Joep Sonnemans and Jan Tuinstra

20130042: From Mine to Coast: Transport Infrastructure and the Direction of Trade in Developing Countries

Roberto Bonfatti and Steven Poelhekke

20130041: Prediction Bias Correction for Dynamic Term Structure Models

Eran Raviv

20130040: Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

20130039: Recessions after Systemic Banking Crises: Does it matter how Governments intervene?

Sweder van Wijnbergen and Timotej Homar

20130038: Employee Recognition and Performance: A Field Experiment

Christiane Bradler, Robert Dur, Susanne Neckermann and Arjan Non

20130037: Product and Labor Market Imperfections and Scale Economies: Micro-Evidence on France, Japan and the Netherlands

Sabien Dobbelaere, Kozo Kiyota and Jacques Mairesse

20130036: Robust Estimation and Forecasting of the Capital Asset Pricing Model

Guorui Bian, Michael McAleer and Wing-Keung Wong

20130035: Why the Rich drink more but smoke less: The Impact of Wealth on Health Behaviors

Hans van Kippersluis and Titus Galama

20130034: The Political Economy of Finance

Enrico Perotti

20130033: Over- and Under-Bidding in Tendering

Vincent van den Berg

20130032: Proprietary Trading and the Real Economy

Stefan Arping

20130031: On Revenue Recycling and the Welfare Effects of Second-Best Congestion Pricing in a Monocentric City

Ioannis Tikoudis, Erik Verhoef and Jos van Ommeren

20130030: The Non-Equivalence of Labor Market Taxes: A Real-Effort Experiment

Matthias Weber and Arthur Schram

20130029: What do Experts know about Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance

Chia-Lin Chang and Michael McAleer

20130028: Equilibrium at a Bottleneck when Long-Run and Short-Run Scheduling Preferences diverge

Stefanie Peer and Erik Verhoef

20130027: Gaming in Combinatorial Clock Auctions

Maarten Janssen and Vladimir Karamychev

20130026: Efficiency Gains of a European Banking Union

Dirk Schoenmaker and Arjen Siegmann

20130025: A Fractionally Integrated Wishart Stochastic Volatility Model

Manabu Asai and Michael McAleer

20130024: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer

20130023: The Average Tree Permission Value for Games with a Permission Tree

Rene van den Brink, P. Jean-Jacques Herings, Gerard van der Laan and Adolphus Talman

20130022: Financial Dependence Analysis: Applications of Vine Copulae

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

20130021: Recent Developments in Financial Economics and Econometrics: An Overview

Chia-Lin Chang, David Allen and Michael McAleer

20130020: Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

David Allen, Abhay K. Singh, Robert Powell, Michael McAleer, James Taylor and Lyn Thomas

20130019: Regulation of Road Accident Externalities when Insurance Companies have Market Power

Maria Dementyeva, Paul Koster and Erik Verhoef

20130018: A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

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

20130017: Can Risk Adjustment prevent Risk Selection in a Competitive Long-Term Care Insurance Market?

Piet Bakx, Erik Schut and Eddy Van Doorslaer

20130016: Individual Expectations and Aggregate Macro Behavior

Tiziana Assenza, Peter Heemeijer, Cars Hommes and Domenico Massaro

20130015: Behavioral Heterogeneity in U.S. Inflation Dynamics

Adriana Cornea, Cars Hommes and Domenico Massaro

20130014: Behavioral Learning Equilibria

Cars Hommes and Mei Zhu

20130013: Financial Frictions and the Credit Transmission Channel: Capital Requirements and Bank Capital

Lucyna Gornicka and Sweder van Wijnbergen

20130012: Mergers in Bidding Markets

Maarten Janssen and Vladimir Karamychev

20130011: Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series

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

20130010: Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

20130009: Volatility Spillovers from the US to Australia and China across the GFC

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

20130008: Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

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

20130007: How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

Lan-Fen Chu, Michael McAleer and Chi-Chung Chen

20130006: Statistical Modelling of Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Ching-Chung Chang

20130005: Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Marcin Jaskowski and Michael McAleer

20130004: Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Szu-Hua Wang

20130003: Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Manabu Asai and Michael McAleer

20130002: Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

20130001: Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

Simon Broda

20120146: Banking Competition and Soft Budget Constraints: How Market Power can threaten Discipline in Lending

Stefan Arping

20120145: The Social Dilemma of Microinsurance: A Framed Field Experiment on Free-Riding and Coordination

Wendy Janssens and Berber Kramer

20120144: Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis

Yvonne Adema and Lorenzo Pozzi

20120143: Information at a Cost: A Lab Experiment

Pedro Robalo and Rei Sayag

20120142: Credit Protection and Lending Relationships

Stefan Arping

20120141: Sunshine Trading: Flashes of Trading Intent at the NASDAQ

Johannes Skjeltorp, Elvira Sojli and Wing Wah Tham

20120140: Aggregate Stock Market Illiquidity and Bond Risk Premia

Kees E. Bouwman, Elvira Sojli and Wing Wah Tham

20120139: Market Power in Bilateral Oligopoly Markets with Nonexpandable Infrastructures

Yukihiko Funaki, Harold Houba and Evgenia Motchenkova