385 Discussion Papers

• 21-080/III - Moments, Shocks and Spillovers in Markov-switching VAR Models

  Authors: Dick van Dijk, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam

  Date: September 14, 2021

• 21-062/III - Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies

  Authors: Terri van der Zwan, Erasmus University Rotterdam; Erik Hennink, Ortec Finance; Patrick Tuijp, Ortec Finance

  Date: July 04, 2021

• 21-059/III - COVID-19, Credit Risk and Macro Fundamentals

  Authors: Anna Dubinova, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam; Sean Telg, Vrije Universiteit Amsterdam

  Date: June 28, 2021

• 21-057/III - Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Enzo D'Innocenzo, University of Bologna; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: June 28, 2021

• 21-056/III - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

  Authors: Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam

  Date: June 28, 2021

• 21-053/III - Quantifying time-varying forecast uncertainty and risk for the real price of oil

  Authors: Knut Are Aastveit, BI Norwegian Business School; Jamie Cross, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam

  Date: June 13, 2021

• 21-038/III - Weighted-average least squares (WALS): Confidence and prediction intervals

  Authors: Giuseppe De Luca, University of Palermo; Jan R. Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, University of Rome Tor Vergata

  Date: May 09, 2021

• 21-036/III - Heterogeneity in Manufacturing Growth Risk

  Authors: Daan Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam

  Date: May 04, 2021

• 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

• 20-078/III - Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Meindert Heres Hoogerkamp, Dutch Ministry of Education, Culture and Science; Siem Jan Koopman, Vrije Universiteit Amsterdam; Ilka van de Werve, Vrije Universiteit Amsterdam

  Date: November 17, 2020

• 20-076/III - Modeling extreme events: time-varying extreme tail shape

  Authors: Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank; Andre Lucas, Vrije Universiteit Amsterdam

  Date: November 10, 2020

• 20-073/III - A New Class of Robust Observation-Driven Models

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Christian Francq, University of Lille; Sébastien Laurent, Aix-Marseille University

  Date: October 21, 2020