39 Discussion Papers

• 25-041/III - Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment

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

  Date: June 26, 2025

• 25-040/IV - Sinking Land, Sinking Prices? Land Subsidence, Flood Risk, and Property Prices

  Authors: Lukas Hofmann, University of Amserdam; Martijn Dröes, University of Amserdam; Marc Francke, University of Amserdam

  Date: June 26, 2025

• 25-039/III - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes

  Authors: Daan Schoemaker, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: June 26, 2025

• 25-038/II - Efficient Information Aggregation: Optimal Structure of Signal Network

  Authors: Bernd Heidergott, Vrije Universiteit Amsterdam; Frank den Hollander, Leiden University; Ines Lindner, Vrije Universiteit Amsterdam; Azadeh Parvaneh, Leiden University

  Date: May 30, 2025

• 25-037/III - Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics

  Authors: Yonas Khanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam; Norman Seeger, Vrije Universiteit Amsterdam

  Date: May 30, 2025

• 25-036/III - Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics

  Authors: Xia Zou, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: May 30, 2025

• 25-035/I - Economic preferences, personality, and voting

  Author: Thomas Buser, University of Amsterdam

  Date: May 16, 2025

• 25-034/III - Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach

  Author: Karim Moussa, Vrije Universiteit Amsterdam

  Date: May 16, 2025

• 25-033/VIII - Timing is Everything: Labor Market Winners and Losers during Boom-Bust Cycles

  Authors: Erik Katovich, University of Connecticut; Dominic Parker, University of Wisconsin-Madison; Steven Poelhekke, Vrije Universiteit Amsterdam

  Date: May 16, 2025

• 25-032/V - Gender and Performance in Collaboration: Evidence from Random Student Teams

  Authors: Max Coveney, Erasmus University Rotterdam; Pilar Garcia-Gomez, Erasmus University Rotterdam; Teresa Marreiros Bago d'Uva, Erasmus University Rotterdam

  Date: May 02, 2025

• 25-031/VIII - Going the distance? A meta-analysis of the deterring effect of distance in tourism

  Authors: Thomas de Graaff, Vrije Universiteit Amsterdam; Elisa Panzera, Politecnico di Milano; Henri L.F. de Groot, Vrije Universiteit Amsterdam

  Date: April 25, 2025

• 25-030/VI - Sea Level Rise and Optimal Flood Protection under Uncertainty

  Authors: Taco Prins, University of Amsterdam; Frederick van der Ploeg, University of Amsterdam; Ton S. van den Bremer, University of Amsterdam

  Date: April 25, 2025

• 25-029/III - Clustering Extreme Value Indices in Large Panels

  Authors: Chenhui Wang, Vrije Universiteit Amsterdam; Juan Juan Cai, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam

  Date: April 25, 2025

• 25-027/III - Functional Location-Scale Models with Robust Observation-Driven Dynamics

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: April 17, 2025

• 25-026/III - Observation-Driven Hierarchical Density Models for Missing Data Imputation

  Authors: Yonas Kanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam

  Date: April 11, 2025

• 25-025/III - Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station

  Authors: Marina Friedrich, Vrije Universiteit Amsterdam; Karim Moussa, Vrije Universiteit Amsterdam; Yuliya Shapovalova, Radboud University Nijmegen; David van der Straten, Vrije Universiteit Amsterdam

  Date: April 11, 2025

• 25-024/III - Food prices and production in the aftermath of natural disasters: the case of Peru

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; James Sampi, World Bank

  Date: April 11, 2025

• 25-023/I - Giving as a self-control problem

  Authors: Cristina Figueroa, University of Amsterdam; Jantsje Mol, University of Amsterdam; Ivan Soraperra, Max Planck Institute for Human Development; Joël Van der Weele, University of Amsterdam

  Date: March 28, 2025

• 25-022/III - Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

  Authors: H. Peter Boswijk, University of Amsterdam; Jeroen Dalderop, University of Notre Dame; Roger J. A. Laeven, University of Amsterdam; Niels Marijnen, University of Amsterdam

  Date: March 21, 2025

• 25-021/III - On the Correlations in Linearized Multivariate Stochastic Volatility Models

  Author: Karim Moussa, Vrije Universiteit Amsterdam

  Date: March 21, 2025