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Home | People | Lennart Hoogerheide

Lennart Hoogerheide

Research Fellow

Vrije Universiteit Amsterdam

Key publications

List of publications

N. Baştürk and A. Borowska and S. Grassi and L. Hoogerheide and van Dijk, H. K.. 2019. Forecast density combinations of dynamic models and data driven portfolio strategies. Journal of Econometrics, 0304-4076

I. Barra and L.F. Hoogerheide and S.J. Koopman and A. Lucas. 2017. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models. Journal of Applied Econometrics, 32, 1003--1026, 0883-7252

David Ardia and Lukasz Gatarek and Hoogerheide, Lennart F.. 2017. A new bootstrap test for multiple assets joint risk testing. Journal of Risk, 19, 1--22, 1465-1211

A. Zellner and T. Ando and N. Basturk and L.F. Hoogerheide and van Dijk, H.K.. 2014. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo. Econometric Reviews, 33, 3--35, 0747-4938

D. Ardia and L.F. Hoogerheide. 2014. GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts. Economics Letters, 123, 187--190, 0165-1765

David Ardia and Hoogerheide, Lennart F.. 2013. Worldwide equity risk prediction. Applied Economics Letters, 20, 1333--1339, 1350-4851

L.F. Hoogerheide and A. Opschoor and van Dijk, H.K.. 2012. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. Journal of Econometrics, 171, 101--120, 0304-4076

L.F. Hoogerheide and F. Ravazzolo and van Dijk, H.K.. 2012. Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds. Journal of Business and Economic Statistics, 30, 30--33, 0735-0015

L.F. Hoogerheide and D. Ardia and N. Corre. 2012. Stock index returns' density prediction using GARCH models: Frequentist or Bayesian estimation?. Economics Letters, 116, 322--325, 0165-1765

L.F. Hoogerheide and J.H. Block and A.R. Thurik. 2012. Family background variables as instruments for education in income regressions: a Bayesian analysis. Economics of Education Review, 31, 515--523, 0272-7757

L.F. Hoogerheide and van Dijk, H.K.. 2010. Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling. International Journal of Forecasting, 26, 231--247, 0169-2070

L.F. Hoogerheide and R. Kleijn and F. Ravazzolo and van Dijk, H.K. and M. Verbeek. 2010. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights. Journal of Forecasting, 29, 251--269, 0277-6693

L.F. Hoogerheide and J.F. Kaashoek and van Dijk, H.K.. 2007. 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. Journal of Econometrics, 139, 154--180, 0304-4076

L.F. Hoogerheide and F. Kleibergen and van Dijk, H.K.. 2007. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics, 138, 63--103, 0304-4076