Behavioral and Experimental Economics

Summer School Experimental Economics

The Behavioral and Experimental Economics group has an influential position in this field in the Netherlands and Europe. CREED, the Amsterdam-based group, focuses particularly on three main projects: economics of political decision making; bounded rationality and institutions and experimental economics. The research of the Rotterdam-based group focuses on two broad themes: decision under risk and uncertainty and intertemporal choice.

Cooperative Behavior, Strategic Interaction and Complex Systems

This research group focuses on: (non-)cooperative game theory; nonlinear dynamics and complex systems; bounded rationality, learning and heterogenous expectations; dynamic models of collective behavior and social networks & dynamic optimization.

Econometrics and Operations Research

Research themes: time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing. Some fellows in this group focus on operations research.

Finance

The Finance group at TI spans many of the core fields in finance: asset pricing, corporate finance, financial econometrics, market microstructure, and financial institutions.

Labor, Health, Education and Development

At TI, a large group of fellows works in different areas of labour, health, education and development.

Macroeconomics and International Economics

Fellows in the Macroeconomics and International Economics group carry out research on growth, innovation, international trade and factor mobility, the role of economic geography, banking and monetary economics, and fiscal policy.

Organizations and Markets

The Organizations and Markets (OM) group spans many areas in (applied) microeconomics, including the economics of organizations, industrial organization, entrepreneurship, innovation, and auctions.

Spatial, Transport and Environmental Economics

The STEE group addresses four themes: urban and regional dynamics, land use, transportation, and environment and resources. Many fellows combine policy research with fundamental research.

Author(s)
Email
s.j.koopman@vu.nl
Journal
Journal of Financial Econometrics, 2013, 11, 76-115

We develop a systematic framework for the joint modeling of returns and multiple daily realized measures. We assume a linear state space representation for the log realized measures, which are noisy and biased estimates of the log daily integrated variance, at least due to Jensen’s inequality. We incorporate filtering methods for the estimation of the latent log-volatility process. The dependence between daily returns and realized measurement errors leads us to develop a two-step estimation method for all parameters in our model specification. The estimation method is computationally straightforward even when the stochastic volatility model has non-Gaussian return innovations and leverage effects. Our extensive empirical study for nine Dow Jones stock return series reveals that measurement errors become significantly smaller after filtering and that the forecasts from our model outperforms those from a set of recently developed alternatives.

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