29 Discussion Papers

• 21-027/III - Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages

  Authors: Eva Janssens, University of Amsterdam; Robin Lumsdaine, Erasmus University Rotterdam

  Date: April 05, 2021

• 21-020/III - Time-varying state correlations in state space models and their estimation via indirect inference

  Authors: Caterina Schiavoni, Maastricht University; Siem Jan Koopman, Vrije Universiteit Amsterdam; Franz Palm, Maastricht University; Stephan Smeekes, Maastricht University; Jan van den Brakel, Maastricht University

  Date: February 24, 2021

• 21-017/III - Bayes estimates of multimodal density features using DNA and Economic Data

  Authors: Nalan Basturk, Maastricht University; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Herman K. van Dijk, Erasmus University Rotterdam

  Date: February 10, 2021

• 21-016/III - A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

  Authors: Roberto Casarin, University Ca'Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzolo, Free University of Bozen-Bolsano; Herman K. van Dijk, Erasmus University Rotterdam

  Date: February 10, 2021

• 21-010/III - Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution

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

  Date: January 24, 2021

• 21-008/III - Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

  Authors: Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Quint Wiersma, Vrije Universiteit Amsterdam

  Date: January 21, 2021

• 21-007/III - Weak versus strong dominance of shrinkage estimators

  Authors: Giuseppe De Luca, University of Palermo; Jan R. Magnus, Vrije Universiteit Amsterdam

  Date: January 14, 2021

• 21-006/III - Forecasting in a changing world: from the great recession to the COVID-19 pandemic

  Authors: Mariia Artemova, Vrije Universiteit Amsterdam; Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Zhaokun Zhang, Shanghai University

  Date: January 14, 2021

• 21-004/III - Robust Estimation of Probit Models with Endogeneity

  Authors: Andrea A. Naghi, Erasmus University Rotterdam; Máté Váradi, Erasmus University Rotterdam; Mikhail Zhelonkin, Erasmus University Rotterdam

  Date: January 14, 2021