Publications and working papers

Albert J. Menkveld et al. Non-Standard Errors. Journal of Finance, 2023 (forthcoming) [ http ]

Franceska Tomori, Erik Ansink, Harold Houba, Nick Hagerty, Charles S. Bos. Market power in California's water market. Tinbergen Institute Discussion Paper 2021-011/VIII [ http ]

Charles S. Bos, Siem Jan Koopman, and Marius Ooms. Long memory with stochastic variance model: A recursive analysis for U.S. inflation. Computational Statistics and Data Analysis, 2014. [ http ]

Charles S. Bos and Paweł Janus. A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data. Discussion Paper TI 2013-155/III, Tinbergen Institute, 2013. [ http ]

Michel Beine, Charles S. Bos, and Serge Coulombe. Does the Canadian economy suffer from Dutch disease? Resource and Energy Economics, 34(4):468-492, 2012. [ http ]

Charles S. Bos. Relating stochastic volatility estimation methods. In Luc Bauwens, Christian M. Hafner, and Sébastien Laurent, editors, pages 147-174. Handbook of Volatility Models and Their Applications. Wiley, April 2012. [ http ]

Charles S. Bos, Paweł Janus, and Siem Jan Koopman. Spot variance path estimation and its application to high frequency jump testing. Journal of Financial Econometrics, 10(2):354-389, 2012. [ http ]

Charles S. Bos. A Bayesian analysis of unobserved component models using Ox. Journal of Statistical Software, 41(13):1-24, 2011. [ http ]

Charles S. Bos and Siem Jan Koopman. Models with time-varying mean and variance: A robust analysis of U.S. industrial production. Discussion Paper 10-017/4, Tinbergen Institute, 2010. [ http ]

Charles S. Bos. Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility. Discussion Paper TI 08-011/4, Tinbergen Institute, 2008. [ http ]

Michel Beine, Charles S. Bos, and Sébastien Laurent. The impact of central bank FX interventions on currency components. Journal of Financial Econometrics, 5(1):154-183, 2007. [ http ]

Charles S. Bos and Phillip Gould. Dynamic correlations and optimal hedge ratios. Discussion Paper TI 07-025/4, Tinbergen Institute, 2007. [ http ]

Charles S. Bos, Siem Jan Koopman, and Marius Ooms. Long memory modelling of inflation with stochastic variance and structural breaks. Discussion Paper TI 07-099/4, Tinbergen Institute, 2007. [ http ]

Charles S. Bos and Neil Shephard. Inference for adaptive time series models: Stochastic volatility and conditionally Gaussian state space form. Econometric Reviews, 25(2-3):219-244, 2006. [ http ]

Charles S. Bos. Ox programming and Bayes. ISBA Bulletin, 12(1):8-10, 2005. [ http ]

Charles S. Bos and Ana Justel. On model selection criteria as a starting point for sequential detection of non-linearity. International Journal of Forecasting, 21(4):749-754, 2005. [ http ], [ software ]

Luc Bauwens, Charles S. Bos, Herman K. Van Dijk, and Rutger D. Van Oest. Adaptive radial-based direction sampling: Some flexible and robust Monte Carlo integration methods. Journal of Econometrics, 123(2):201-225, 2004. [ http ]

Charles S. Bos. Time series modelling using TSMod 3.24. International Journal of Forecasting, 20(3):515-522, 2004. [ http ], [ software ]

Siem Jan Koopman and Charles S. Bos. State space models with a common stochastic variance. Journal of Business and Economic Statistics, 22(3):346-357, 2004. [ http ], [ software ]

Luc Bauwens, Charles S. Bos, Herman K. Van Dijk, and Rutger D. Van Oest. Explaining adaptive radial-based direction sampling. In Proceedings of the American Statistical Association, Statistical Computing Section, Alexandria, VA, 2003. American Statistical Association. [ http ]

Charles S. Bos. A comparison of marginal likelihood computation methods. In Wolfgang Härdle and Bernd Ronz, editors, COMPSTAT 2002 - Proceedings of Computational Statistics, pages 111-117, 2002. [ http ]

Charles S. Bos, Philip Hans Franses, and Marius Ooms. Inflation, forecast intervals and long memory regression models. International Journal of Forecasting, 18(2):243-264, 2002. [ http ]

Charles S. Bos. Time Varying Parameter Models for Inflation and Exchange Rates. PhD thesis, Tinbergen Institute, Erasmus University Rotterdam, 2001. TI 256. [ http ]

Luc Bauwens, Charles S. Bos, and Herman K. Van Dijk. Adaptive polar sampling: A new MCMC method for ill-behaved posterior surfaces. In Wim Jansen and Jelke G. Bethlehem, editors, Proceedings in Computational Statistics 2000, p. 13-14. Statistics Netherlands, 2000.[ http ]

Charles S. Bos, Ronald J. Mahieu, and Herman K. Van Dijk. On the variation of hedging decisions in daily currency risk management. In Ed I. George, editor, Bayesian Methods with Applications to Science, Policy, and Official Statistics, p. 31-40. International Society for Bayesian Analysis, 2000. [ http ]

Charles S. Bos, Ronald J. Mahieu, and Herman K. Van Dijk. Daily exchange rate behaviour and hedging of currency risk. Journal of Applied Econometrics, 15(6):671-696, 2000. [ http ]

Charles S. Bos, Philip Hans Franses, and Marius Ooms. Long memory and level shifts: Re-analyzing inflation rates. Empirical Economics, 24(3):427-449, 1999. [ http ]