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26-040/III - An Extended Score-Driven Dynamic Factor Model: Constructing Composite Indices in Turbulent Times

  • Authors
    Mariia Artemova, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Evgenii Vladimirov, Erasmus University Rotterdam
  • Publication date
    June 25, 2026
  • Keywords
    state-space model, observation-driven model, heavy-tailed distribution, coincident index, leading index
  • JEL
    C32, C38, C51, E32
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