24-072/III - Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model
Date: November 29, 2024
17 Discussion Papers
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24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
Date: November 08, 2024
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24-068/III - Time-Varying Factor Model Components for Effective Momentum Strategy
Date: October 31, 2024
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24-066/III - Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data
Date: October 27, 2024
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24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
Date: September 27, 2024
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24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models
Date: September 27, 2024
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24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting
Date: September 20, 2024
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24-056/III - Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
Date: September 13, 2024
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24-052/III - Testing for Clustering Under Switching
Date: August 22, 2024
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24-051/III - Kullback-Leibler-based characterizations of score-driven updates
Date: August 06, 2024
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24-049/III - Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution
Date: July 19, 2024
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24-037/III - Statistical Early Warning Models with Applications
Date: May 30, 2024
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24-036/III - A Novel Test for the Presence of Local Explosive Dynamics
Date: May 30, 2024
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24-030/III - Taylor Rules with Endogenous Regimes
Date: May 10, 2024
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24-016/III - A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors
Date: February 29, 2024
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24-008/III - Bootstrapping GARCH Models Under Dependent Innovations
Date: January 25, 2024
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24-003/III - A robust Beveridge-Nelson decomposition using a score-driven approach with an application
Date: January 11, 2024