Tinbergen Institute Discussion Papers

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20160104: Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides and Michael McAleer

20160103: Post Separation of Plastic Waste: Better for the Environment and Lower Collection Costs

Elbert Dijkgraaf and Raymond Gradus

20160102: Time-Varying Degree of Wage Indexation and the New Keynesian Wage Phillips Curve

Jonathan A. Attey

20160101: ‘High’ Achievers? Cannabis Access and Academic Performance

Olivier Marie and Ulf Zoelitz

20160100: Is a Minimum Wage an Appropriate Instrument for Redistribution?

Aart Gerritsen and Bas Jacobs

20160099: Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk

20160098: Financial Globalization and Foreign Direct Investment

Steven Poelhekke

20160097: Mining Matters: Natural Resource Extraction and Local Business Constraints

Ralph De Haas and Steven Poelhekke

20160096: Do Women give up Competing more easily? Evidence from the Lab and the Dutch Math Olympiad

Thomas Buser and Huaiping Yuan

20160095: Afriat in the Lab

Jan Heufer and Paul van Bruggen

20160094: A Simple Test for Causality in Volatility

Chia-Lin Chang and Michael McAleer

20160093: The (Self-)Funding of Intangibles

Robin Döttling, Tomislav Ladika and Enrico Perotti

20160092: Cartel Dating

H. Peter Boswijk, Maurice J.G. Bun and Maarten Pieter Schinkel

20160091: The Wage Penalty of Dialect-Speaking

Jan van Ours and Yuxin Yao

20160090: Damming Trans-boundary Rivers: A Welfare Analysis of Conflict and Cooperation

Yuyu Zeng, Harold Houba, Ariel Dinar and Miroslav Marence

20160089: Limit Pricing, Climate Policies, and Imperfect Substitution

Gerard van der Meijden and Cees Withagen

20160088: Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection

Tino Berger and Lorenzo Pozzi

20160087: Liquidity Runs

Rafael Matta and Enrico Perotti

20160086: Monetary Policy in the Presence of Random Wage Indexation

Jonathan A. Attey and Casper de Vries

20160085: Social Network Sites, Individual Social Capital and Happiness

Efstratia Arampatzi, Martijn Burger and Natallia A. Novik

20160084: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

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

20160083: US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

Chia-Lin Chang, Michael McAleer and Dang-Khoa Nguyen

20160082: Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Francisco Blasques, Paolo Gorgi, Siem Jan Koopman and Olivier Wintenberger

20160081: Secular Stagnation, Rational Bubbles, and Fiscal Policy

C. N. Teulings

20160080: Returns to On-the-Job Search and the Dispersion of Wages

Axel Gottfries and C. N. Teulings

20160079: Cascading Trade Protection: Evidence from the US

Aksel Erbahar and Yuan Zi

20160078: Location Choices of Chinese Multinationals in Europe: The Role of Overseas Communities

Bas Karreman, Martijn Burger and Frank Oort

20160077: On the Origins of Entrepreneurship: Evidence from Sibling Correlations

Matthew Lindquist, Joeri Sol, Mirjam Praag and Theodor Vladasel

20160076: Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

Manabu Asai, Chia-Lin Chang and Michael McAleer

20160075: Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes

Aiste Ruseckaite, Dennis Fok and Peter Goos

20160074: Network, Market, and Book-Based Systemic Risk Rankings

Michiel van de Leur and Andre Lucas

20160073: Forecasting Using Random Subspace Methods

Tom Boot and Didier Nibbering

20160072: The Schumpeterian Entrepreneur: A Review of the Empirical Evidence on the Antecedents, Behavior, and Consequences of Innovative Entrepreneurship

Joern Block, Christian O. Fisch and Mirjam Praag

20160071: Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Manabu Asai and Michael McAleer

20160070: Centrality Rewarding Shapley and Myerson Values for Undirected Graph Games

Anna Khmelnitskaya, Gerard van der Laan and Adolphus Talman

20160069: Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Andre Lucas and Anne Opschoor

20160068: A Comment on Revealed Preference with a Subset of Goods

Paul van Bruggen

20160067: Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Andre Lucas, Anne Opschoor and Julia Schaumburg

20160066: Bank Business Models at Zero Interest Rates

Andre Lucas, Julia Schaumburg and Bernd Schwaab

20160065: A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Manabu Asai and Michael McAleer

20160064: Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

Rutger-Jan Lange, Andre Lucas and Arjen Siegmann

20160063: Gender and Redistribution: Experimental Evidence

Thomas Buser, Louis Putterman and Joël van der Weele

20160062: Ethnic Drift and White Flight: A Gravity Model of Neighborhood Formation

Jessie Bakens, Raymond Florax and Peter Mulder

20160061: Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model

Peter Hansen, Pawel Janus and Siem Jan Koopman

20160060: Marketmaking Middlemen

Pieter Gautier, Bo Hu and Makoto Watanabe

20160059: An Experimental Study of Bond Market Pricing

Matthias Weber, John Duffy and Arthur Schram

20160058: International Trade and Labor Market Discrimination

Richard Chisik and Julian Emami Namini

20160057: Trade Policy Options of Ukraine: East or West

Irena Mikolajun, Richard Paap, Jean-Marie Viaene and Olga Zelenko

20160056: Fiscal Policy with Limited-Time Commitment

Alex Clymo and Andrea Lanteri

20160055: Inclusive Fitness

Matthijs van Veelen, Benjamin Allen, Moshe Hoffman, Burton Simon and Carl Veller

20160054: How does Market Access for Smallholders affect Export Supply? The Case of Tobacco Marketing in Malawi

Wouter Zant

20160053: Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

Chia-Lin Chang, Michael McAleer and Jiarong Tian

20160052: An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang

20160051: Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S

Siem Jan Koopman, Rutger Lit and Andre Lucas

20160050: Communication versus (Restricted) Delegation: An Experimental Comparison

Silvia Dominguez-Martinez and Randolph Sloof

20160049: Risk and Loss Aversion, Price Uncertainty and the Implications for Consumer Search

Adriaan Soetevent and Tadas Bružikas

20160048: R&D Cooperatives and Market Collusion: A Global Dynamic Approach

Jeroen Hinloopen, Grega Smrkolj and Florian Wagener

20160047: Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Chia-Lin Chang, Michael McAleer and Yanghuiting Wang

20160046: Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

Chia-Lin Chang, Chia-Ping Liu and Michael McAleer

20160045: The Magic of the Personal Touch: Field Experimental Evidence on Money and Appreciation as Gifts

Christiane Bradler and Susanne Neckermann

20160044: Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Shelton Peiris, Manabu Asai and Michael McAleer

20160043: Measuring Responsiveness to Feedback as a Personal Trait

Thomas Buser, Leonie Gerhards and Joël J. van der Weele

20160042: An Axiomatic Analysis of Joint Liability Problems with Rooted -Tree Structure

Takayuki Oishi, Gerard van der Laan and Rene van den Brink

20160041: Understanding the Role of the Public Employment Agency

Christian Holzner and Makoto Watanabe

20160040: Management Science, Economics and Finance: A Connection

Chia-Lin Chang, Michael McAleer and Wing-Keung Wong

20160039: A Cost-Effectiveness Analysis for Incineration or Recycling of Dutch Household Plastics

Raymond Gradus, Rick van Koppen, Elbert Dijkgraaf and Paul Nillesen

20160038: A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

David Allen, Chia-Lin Chang, Michael McAleer and Abhay K. Singh

20160037: Unconditional Aid and Green Growth

Moutaz Altaghlibi and Florian Wagener

20160036: Search Frictions, Competing Mechanisms and Optimal Market Segmentation

Xiaoming Cai, Pieter Gautier and Ronald Wolthoff

20160035: Incentivizing Creativity: A Large-Scale Experiment with Tournaments and Gifts

Christiane Bradler, Susanne Neckermann and Arne Warnke

20160034: Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management

Franc Klaassen and Kostas(Konstantinos) Mavromatis

20160033: (Non-)Insurance Markets, Loss Size Manipulation and Competition - Experimental Evidence

Jeroen Hinloopen and Adriaan Soetevent

20160032: Redistributive Politics and the Tyranny of the Middle Class

Floris T. Zoutman, Bas Jacobs and Egbert L. W. Jongen

20160031: A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan

Chia-Lin Chang, Michael McAleer and Yu-Chieh Wu

20160030: Entrepreneurial Choices of Initial Human Capital Endowments and New Venture Success

Vera Rocha, Mirjam Praag, Timothy B. Folta and Anabela Carneiro

20160029: Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

Gabriele Galati, Irma Hindrayanto, Siem Jan Koopman and Marente Vlekke

20160028: Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

Istvan Barra, Siem Jan Koopman and Agnieszka Borowska

20160027: Prediction of Gas Concentration based on the Opposite Degree Algorithm

Xiaoguang Yue, Rui Gao and Michael McAleer

20160026: An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series

David Allen, Michael McAleer and Abhay K. Singh

20160025: Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong

20160024: Spending on Health Care in the Netherlands: Not going so Dutch

Pieter Bakx, Owen O’Donnell and Eddy Van Doorslaer

20160023: Everybody's doing it: On the Emergence and Persistence of Bad Social Norms

David Smerdon, Theo Offerman and Uri Gneezy

20160022: Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment

Luiz Felix, Roman Kräussl and Philip Stork

20160021: Place-based Policies, Firm Productivity and Displacement Effects: Evidence from Shenzhen, China

Hans Koster, Fang Fang Cheng, Michiel Gerritse and Frank Oort

20160020: Market Structure and Advance Selling

Marc Möller and Makoto Watanabe

20160019: Progressive Universalism? The Impact of Targeted Coverage on Healthcare Access and Expenditures in Peru

Sven Neelsen and Owen O’Donnell

20160018: Spatial Planning and Segmentation of the Land Market

Or Levkovich and Jan Rouwendal

20160017: How does the Gender Difference in Willingness to Compete evolve with Experience?

Thomas Buser

20160016: Sequential Auctions with Generalized Interdependent Values

Audrey Hu and Liang Zou

20160015: Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

Jinghui Chen, Masahito Kobayashi and Michael McAleer

20160014: Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

Chia-Lin Chang, Michael McAleer and Yu-Ann Wang

20160013: Job-Search Periods for Welfare Applicants: Evidence from a Randomized Experiment

Jonneke Bolhaar, Nadine Ketel and Bas van der Klaauw

20160012: Deception and Self-Deception

Peter Schwardmann and Joël van der Weele

20160011: Generalization of Binomial Coefficients to Numbers on the Nodes of Graphs

Anna Khmelnitskaya, Gerard van der Laan and Adolphus Talman

20160010: Connecting VIX and Stock Index ETF

Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer

20160009: A Commercial Gift for Charity

Adriaan Soetevent, Te Bao and Anouk L. Schippers

20160008: What causes the Positive Price-Turnover Correlation in European Housing Markets?

Martijn Dröes and Marc K. Francke

20160007: Coco Design, Risk Shifting Incentives and Capital Regulation

Stephanie Chan and Sweder van Wijnbergen

20160006: Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?

Massimiliano Caporin, Chia-Lin Chang and Michael McAleer

20160005: Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk