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  1. Ardia, David [Author] ; Hoogerheide, Lennart F. [Other]

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

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    [S.l.]: SSRN, [2020]

    Published in: Tinbergen Institute Discussion Paper 2013-047/III

  2. Ardia, David [Author] ; Bluteau, Keven [Other]; Hoogerheide, Lennart F. [Other]

    Methods for Computing Numerical Standard Errors : Review and Application to Value-at-Risk Estimation

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    [S.l.]: SSRN, [2018]

  5. Hoogerheide, Lennart F. [Author] ; van Dijk, H. K. [Other]

    Learning to Average Predictively Over Good and Bad : Comment on: Using Stacking to Average Bayesian Predictive Distributions

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    [S.l.]: SSRN, [2018]

    Published in: Tinbergen Institute Discussion Paper 2018-063/III

  6. Hoogerheide, Lennart F. [Author] ; Ardia, David [Other]; Corré, Nienké [Other]

    Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?

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    [S.l.]: SSRN, [2017]

  8. Hoogerheide, Lennart F. [Author] ; Opschoor, Anne [Other]; van Dijk, H. K. [Other]

    A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

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    [S.l.]: SSRN, [2012]

    Published in: Tinbergen Institute Discussion Paper ; No. 12-026/4

  9. Hoogerheide, Lennart F. [Author] ; Ravazzolo, Francesco [Other]; van Dijk, H. K. [Other]

    Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

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    [S.l.]: SSRN, [2011]

    Published in: Tinbergen Institute Discussion Paper 11-131/4

  10. Hoogerheide, Lennart F. [Author] ; Opschoor, Anne [Other]; van Dijk, H. K. [Other]

    A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

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    [S.l.]: SSRN, [2011]

    Published in: Tinbergen Institute Discussion Paper ; No. 2011-004/4

  11. Hoogerheide, Lennart F. [Author] ; Kleijn, Richard [Other]; Ravazzolo, Francesco [Other]; van Dijk, H. K. [Other]; Verbeek, Marno [Other]

    Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

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    [S.l.]: SSRN, [2010]

    Published in: Tinbergen Institute Discussion Paper 09-061/4

  12. Hoogerheide, Lennart F. [Author] ; van Dijk, H. K. [Other]

    Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

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    [S.l.]: SSRN, [2008]

    Published in: Tinbergen Institute Discussion Paper ; No. TI 2008-092/4

  13. Hoogerheide, Lennart F. [Author] ; van Dijk, H. K. [Other]; Oest, R.D. van [Other]

    Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances

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    [S.l.]: SSRN, [2007]

    Published in: CORE Discussion Paper ; No. 2007/15

  14. Hoogerheide, Lennart F. [Author] ; kaashoek, Johan F. [Other]; van Dijk, H. K. [Other]

    On the Shape of Posterior Densities and Credible Sets in Instrumental Variable Regression Models with Reduced Rank : An Application of Flexible Sampling Methods Using Neural Networks

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    [S.l.]: SSRN, [2006]

  15. Borowska, Agnieszka [Author] ; Hoogerheide, Lennart F. [Other]; Koopman, Siem Jan [Other]

    Bayesian Risk Forecasting for Long Horizons

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    [S.l.]: SSRN, [2019]

    Published in: Tinbergen Institute Discussion Paper 2019-018/III

  17. Basturk, Nalan [Author] ; Hoogerheide, Lennart F. [Other]; van Dijk, H. K. [Other]

    Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

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    [S.l.]: SSRN, [2017]

    Published in: Norges Bank Working Paper 11/17

  18. Basturk, Nalan [Author] ; Hoogerheide, Lennart F. [Other]; van Dijk, H. K. [Other]

    Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

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    [S.l.]: SSRN, [2017]

    Published in: Tinbergen Institute Discussion Paper ; No. 17-058/III

  19. Gatarek, Lukasz T. [Author] ; Hoogerheide, Lennart F. [Other]; van Dijk, H. K. [Other]

    Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

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    [S.l.]: SSRN, [2014]

    Published in: Tinbergen Institute Discussion Paper 14-039/III