17 Discussion Papers

• 26-073/III - Synchronized Time Series Models for National Accounts Data

  Authors: Lucas Harlaar, Maastricht University; Jan van den Brakel, Maastricht University; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: September 24, 2026

• 26-070/III - Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes

  Authors: Ayla Jungbluth, Ruhr-University Bochum; Johannes Lederer, University of Hamburg; Simon Trimborn, University of Amsterdam

  Date: September 10, 2026

• 26-068/III - Filtering without Recursion and Some of Its Uses in Financial Economics

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

  Date: September 10, 2026

• 26-061/III - Composite Univariate Modeling of Realized Covariance Matrix Dynamics and Volatility-at-Risk

  Authors: Justus Holman, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: August 28, 2026

• 26-060/III - Joint Eigenvector and Eigenvalue Dynamics with an Application to Time-Varying Covariance Matrices

  Authors: Justus Holman, Vrije Universiteit Amsterdam ; Yicong Lin, Vrije Universiteit Amsterdam ; Andre Lucas, Vrije Universiteit Amsterdam ; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: August 28, 2026

• 26-057/III - A Dynamic Nonlinear Panel Decomposition Model for the Global Environmental Kuznets Curve

  Authors: Cheyenne Amoroso, Universidade da A Coruna; Carolina Garcia-Martos, Universidad Politecnica de Madrid; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: August 18, 2026

• 26-056/III - When Is the Mover-Design Event Study Coefficient a Place-Effect Share?

  Author: Vahid Moghani, Erasmus University Rotterdam

  Date: August 11, 2026

• 26-055/III - Confidence Sets for the Date of a Weak Mean Break in Functional Data

  Author: Yicong Lin, Vrije Universiteit Amsterdam

  Date: August 11, 2026

• 26-044/III - Environmental Regulatory Risk

  Authors: Peter Boswijk, University of Amsterdam; Cees Diks, University of Amsterdam; Simon Trimborn, University of Amsterdam; Matteo Valle, University of Amsterdam

  Date: July 15, 2026

• 26-040/III - An Extended Score-Driven Dynamic Factor Model: Constructing Composite Indices in Turbulent Times

  Authors: Mariia Artemova, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Evgenii Vladimirov, Erasmus University Rotterdam

  Date: June 25, 2026

• 26-033/III - Measuring Economic Impacts of Environmental Policy Transitions Across Countries

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Anthony van Veen, Vrije Universiteit Amsterdam; Ilka van de Werve, Vrije Universiteit Amsterdam

  Date: June 11, 2026

• 26-026/III - Characteristic Function-Based Factor Modeling of Affine Jump-Diffusions using Options

  Authors: H. Peter Boswijk, University of Amsterdam; Roger J. A. Laeven, University of Amsterdam; Niels Marijnen, University of Amsterdam; Evgenii Vladimirov, Erasmus University Rotterdam

  Date: May 29, 2026

• 26-023/III - Barron-Loss Adaptive Estimation

  Authors: Ramon F. A. de Punder, University of Amsterdam; Mathijs R. G. Dijkstra, University of Amsterdam; Cees G. H. Diks, University of Amsterdam

  Date: May 19, 2026

• 26-022/III - Proper and Robust Autoregressive Derivative Adaptive Models

  Author: Ramon de Punder, University of Amsterdam

  Date: May 16, 2026

• 26-007/III - Self-driving neural networks for term structure modeling

  Authors: Sicco Kooiker, Vrije Universiteit Amsterdam; Janneke van Brummelen, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Marcin Zamojski, Vrije Universiteit Amsterdam

  Date: February 26, 2026

• 26-004/III - Dynamic Regularized Parametric Portfolio Policies

  Authors: Bram van Os, Vrije Universiteit Amsterdam; Rasmus Lönn, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

  Date: January 21, 2026

• 26-002/III - Estimation and inference for the persistence of extremely high temperatures

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

  Date: January 09, 2026