378 Discussion Papers

• 25-016/III - New rank-based tests and estimators for Common Primitive Shocks

  Authors: Federico Carlini, LUISS Business School; Mirco Rubin, EDHEC Business School; Pierluigi Vallarino, Erasmus University Rotterdam

  Date: March 07, 2025

• 25-011/III - Score-driven time-varying parameter models with splinebased densities

  Authors: Janneke van Brummelen, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: February 16, 2025

• 25-006/III - Stability and performance guarantees for misspecified multivariate score-driven filters

  Authors: Simon Donker van Heel, Erasmus University Rotterdam; Rutger-Jan Lange, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bram van Os, Vrije Universiteit Amsterdam

  Date: February 05, 2025

• 25-004/III - Copula tensor count autoregressions for modeling multidimensional integer-valued time series

  Authors: Mirko Armillotta, University of Rome Tor Vergata; Paolo Gorgi, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: February 05, 2025

• 24-082/III - Dynamic kernel models

  Author: Pierluigi Vallarino, Erasmus University Rotterdam

  Date: December 31, 2024

• 24-080/III - Influential assets in Large-Scale Vector AutoRegressive Models

  Authors: Kexin Zhang, City University of Hong Kong; Simon Trimborn, University of Amsterdam

  Date: December 20, 2024

• 24-077/III - Three-Sided Testing to Establish Practical Significance: A Tutorial

  Authors: Peder Isager, Oslo New University College; Jack Fitzgerald, Vrije Universiteit Amsterdam

  Date: December 20, 2024

• 24-075/III - Estimation of Linear models from Coarsened Observations: A Method of Moments Approach

  Authors: Bernard M.S. van Praag, University of Amsterdam; J. Peter Hop; William H. Greene, University of South Florida

  Date: December 12, 2024

• 24-074/III - Asymmetric Gradualism in US Monetary Policy

  Authors: Knut Are Aastveit, Norges Bank; Jamie Cross, Melbourne Business School; Francesco Furlanetto, Norges Bank; Herman K van Dijk, Erasmus University Rotterdam

  Date: December 12, 2024

• 24-072/III - Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model

  Author: Gabriele Mingoli, Vrije Universiteit Amsterdam

  Date: November 29, 2024

• 24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

  Authors: Enzo D'Innocenzo, University of Bologna; Andre Lucas, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank

  Date: November 08, 2024

• 24-068/III - Time-Varying Factor Model Components for Effective Momentum Strategy

  Authors: Jamie Cross, Melbourne Business School; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Herman van Dijk, Erasmus University Rotterdam

  Date: October 31, 2024

• 24-066/III - Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Noah Stegehuis, Vrije Universiteit Amsterdam

  Date: October 27, 2024

• 24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam ; Janneke van Brummelen, Vrije Universiteit Amsterdam ; Paolo Gorgi, Vrije Universiteit Amsterdam ; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: September 27, 2024

• 24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models

  Authors: Mingxuan Song, Vrije University Amsterdam ; Bernhard van der Sluis, Erasmus University Rotterdam ; Yicong Lin, Vrije University Amsterdam

  Date: September 27, 2024

• 24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting

  Authors: Laura Capera Romero, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: September 20, 2024

• 24-056/III - Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics

  Authors: Jamie L. Cross, University of Melbourne ; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Paul Labonne, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam

  Date: September 13, 2024

• 24-052/III - Testing for Clustering Under Switching

  Author: Igor Custodio João, Vrije Universiteit Amsterdam

  Date: August 22, 2024

• 24-051/III - Kullback-Leibler-based characterizations of score-driven updates

  Authors: Ramon de Punder, University of Amsterdam; Timo Dimitriadis, Heidelberg University; Rutger-Jan Lange, Erasmus University Rotterdam

  Date: August 06, 2024

• 24-049/III - Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution

  Authors: Anne Opschoor, Vrije Universiteit Amsterdam; Dewi Peerlings, Vrije Universiteit Amsterdam; Luca Rossini, University of Milan; Andre Lucas, Vrije Universiteit Amsterdam

  Date: July 19, 2024