25 Discussion Papers

• 25-074/III - Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing

  Authors: Simon Donker van Heel, Erasmus University Rotterdam; Neil Shephard, Harvard University

  Date: December 18, 2025

• 25-065/III - The role of news and social pressure in shaping U.S. public opinion on climate change

  Authors: Masako Ikefuji, University of Osaka; Jan R. Magnus, Vrije Universiteit Amsterdam; Zhehao Wang, University of Osaka

  Date: November 21, 2025

• 25-063/III - Testing for the Absence of Score-Driven Parameter Dynamics

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

  Date: October 24, 2025

• 25-056/III - Do shocks divide or unite: Evidence from the Netherlands

  Authors: Yannick van Etten, Tinbergen Institute; Jan Magnus, Vrije Universiteit Amsterdam; Tetsuya Matsubayashi, The University of Osaka

  Date: September 26, 2025

• 25-053/III - Exploring the crime drop in European Union homicide rates using econometric modeling

  Authors: Ilka van de Werve, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Frank Weerman, Netherlands Institute for the Study of Crime and Law Enforcement; Arjan Blokland

  Date: September 19, 2025

• 25-051/III - An Impartial Look at Asset Correlation Stability and Market Structure

  Authors: Etienne Wijler, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: September 19, 2025

• 25-048/III - More information, less precision: meta-analysis through random effects

  Authors: Jan Magnus, Vrije Universiteit Amsterdam; Andrey L. Vasnev, University of Sydney

  Date: August 22, 2025

• 25-045/III - A General Randomized Test for Alpha

  Authors: Daniele Massacci, King's College London; Lucio Sarno, University of Cambridge; Lorenzo Trapani, University of Pavia; Pierluigi Vallarino, Erasmus University Rotterdam

  Date: July 25, 2025

• 25-042/III - Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Shiqi Ye, AMSS Center for Forecasting Science

  Date: July 04, 2025

• 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

• 25-039/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

• 25-037/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

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

  Author: Karim Moussa, Vrije Universiteit Amsterdam

  Date: May 16, 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 Khanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam

  Date: April 11, 2025

• 25-025/III - Forecasting Atmospheric Ethane

  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

• 25-022/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