16 Discussion Papers

• 24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

  Authors: Enzo D'Innocenzo, University of Bologna; Andre Lucas, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank

  Date: November 08, 2024

• 24-068/III - Time-Varying Factor Model Components for Effective Momentum Strategy

  Authors: Jamie Cross, Melbourne Business School; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Herman van Dijk, Erasmus University Rotterdam

  Date: October 31, 2024

• 24-066/III - Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Noah Stegehuis, Vrije Universiteit Amsterdam

  Date: October 27, 2024

• 24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam ; Janneke van Brummelen, Vrije Universiteit Amsterdam ; Paolo Gorgi, Vrije Universiteit Amsterdam ; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: September 27, 2024

• 24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models

  Authors: Mingxuan Song, Vrije University Amsterdam ; Bernhard van der Sluis, Erasmus University Rotterdam ; Yicong Lin, Vrije University Amsterdam

  Date: September 27, 2024

• 24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting

  Authors: Laura Capera Romero, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: September 20, 2024

• 24-056/III - Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics

  Authors: Jamie L. Cross, University of Melbourne ; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Paul Labonne, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam

  Date: September 13, 2024

• 24-052/III - Testing for Clustering Under Switching

  Author: Igor Custodio João, Vrije Universiteit Amsterdam

  Date: August 22, 2024

• 24-051/III - Kullback-Leibler-based characterizations of score-driven updates

  Authors: Ramon de Punder, University of Amsterdam; Timo Dimitriadis, Heidelberg University; Rutger-Jan Lange, Erasmus University Rotterdam

  Date: August 06, 2024

• 24-049/III - Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution

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

  Date: July 19, 2024

• 24-037/III - Statistical Early Warning Models with Applications

  Authors: Lucas P. Harlaar, Vrije Universiteit Amsterdam; Jacques J.F. Commandeur, Vrije Universiteit Amsterdam; Jan A. van den Brakel, Maastricht University; Siem Jan Koopman, Vrije Universiteit Amsterdam; Niels Bos, SWOV Institute for Road Safety Research; Frits D. Bijleveld, Vrije Universiteit Amsterdam

  Date: May 30, 2024

• 24-036/III - A Novel Test for the Presence of Local Explosive Dynamics

  Authors: F. Blasques, Vrije Universiteit Amsterdam; S.J. Koopman, Vrije Universiteit Amsterdam; G. Mingoli, Vrije Universiteit Amsterdam; S. Telg, Vrije Universiteit Amsterdam

  Date: May 30, 2024

• 24-030/III - Taylor Rules with Endogenous Regimes

  Authors: Knut Are Aastveit, BI Norwegian Business School; Jamie Cross, The University of Melbourne; Francesco Furlanetto, Norges Bank; Herman K. Van Dijk, Erasmus University Rotterdam

  Date: May 10, 2024

• 24-016/III - A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Noah Stegehuis, Vrije Universiteit Amsterdam

  Date: February 29, 2024

• 24-008/III - Bootstrapping GARCH Models Under Dependent Innovations

  Authors: Eric Beutner, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Barend Spanjers, Vrije Universiteit Amsterdam

  Date: January 25, 2024

• 24-003/III - A robust Beveridge-Nelson decomposition using a score-driven approach with an application

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam ; Janneke van Brummelen, Vrije Universiteit Amsterdam ; Paolo Gorgi, Vrije Universiteit Amsterdam ; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: January 11, 2024