Search Results - "Hoogerheide, Lennart F"

Genome-wide analysis of macrosatellite repeat copy number variation in worldwide populations: evidence for differences and commonalities in size distributions and size restrictions by Schaap, Mireille, Lemmers, Richard J L F, Maassen, Roel, van der Vliet, Patrick J, Hoogerheide, Lennart F, van Dijk, Herman K, Baştürk, Nalan, de Knijff, Peter, van der Maarel, Silvère M

“…Macrosatellite repeats (MSRs), usually spanning hundreds of kilobases of genomic DNA, comprise a significant proportion of the human genome. Because of their…”
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GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts by Ardia, David, Hoogerheide, Lennart F.

“…We analyze the impact of the estimation frequency–updating parameter estimates on a daily, weekly, monthly or quarterly basis–for commonly used GARCH models in…”
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Worldwide equity risk prediction by Ardia, David, Hoogerheide, Lennart F.

“…Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The value-at-risk forecast performance is…”
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A new bootstrap test for multiple assets joint risk testing by Ardia, David, Gatarek, Lukasz, Hoogerheide, Lennart

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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 by Hoogerheide, Lennart F., Kaashoek, Johan F., van Dijk, Herman K.

“…Likelihoods and posteriors of instrumental variable (IV) regression models with strong endogeneity and/or weak instruments may exhibit rather non-elliptical…”
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Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation? by Hoogerheide, Lennart F., Ardia, David, Corré, Nienke

“…Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant…”
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Adaptive Mixture of Student- t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit by Ardia, David, Hoogerheide, Lennart F., Dijk, Herman K. van

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Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit by David Ardia, Lennart F. Hoogerheide, Herman K. van Dijk

“…This paper presents the R package AdMit which provides flexible functions to approximate a certain target distribution and to efficiently generate a sample of…”
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