16 Discussion Papers

• 25-041/III - Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment

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

  Date: June 26, 2025

• 25-039/III - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes

  Authors: Daan Schoemaker, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam

  Date: June 26, 2025

• 25-037/III - Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics

  Authors: Yonas Khanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam; Norman Seeger, Vrije Universiteit Amsterdam

  Date: May 30, 2025

• 25-036/III - Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics

  Authors: Xia Zou, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: May 30, 2025

• 25-034/III - Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach

  Author: Karim Moussa, Vrije Universiteit Amsterdam

  Date: May 16, 2025

• 25-029/III - Clustering Extreme Value Indices in Large Panels

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

  Date: April 25, 2025

• 25-027/III - Functional Location-Scale Models with Robust Observation-Driven Dynamics

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: April 17, 2025

• 25-026/III - Observation-Driven Hierarchical Density Models for Missing Data Imputation

  Authors: Yonas Kanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam

  Date: April 11, 2025

• 25-025/III - Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station

  Authors: Marina Friedrich, Vrije Universiteit Amsterdam; Karim Moussa, Vrije Universiteit Amsterdam; Yuliya Shapovalova, Radboud University Nijmegen; David van der Straten, Vrije Universiteit Amsterdam

  Date: April 11, 2025

• 25-024/III - Food prices and production in the aftermath of natural disasters: the case of Peru

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; James Sampi, World Bank

  Date: April 11, 2025

• 25-022/III - Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

  Authors: H. Peter Boswijk, University of Amsterdam; Jeroen Dalderop, University of Notre Dame; Roger J. A. Laeven, University of Amsterdam; Niels Marijnen, University of Amsterdam

  Date: March 21, 2025

• 25-021/III - On the Correlations in Linearized Multivariate Stochastic Volatility Models

  Author: Karim Moussa, Vrije Universiteit Amsterdam

  Date: March 21, 2025

• 25-016/III - New rank-based tests and estimators for Common Primitive Shocks

  Authors: Federico Carlini, LUISS Business School; Mirco Rubin, EDHEC Business School; Pierluigi Vallarino, Erasmus University Rotterdam

  Date: March 07, 2025

• 25-011/III - Score-driven time-varying parameter models with splinebased densities

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

  Date: February 16, 2025

• 25-006/III - Stability and performance guarantees for misspecified multivariate score-driven filters

  Authors: Simon Donker van Heel, Erasmus University Rotterdam; Rutger-Jan Lange, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bram van Os, Vrije Universiteit Amsterdam

  Date: February 05, 2025

• 25-004/III - Copula tensor count autoregressions for modeling multidimensional integer-valued time series

  Authors: Mirko Armillotta, University of Rome Tor Vergata; Paolo Gorgi, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: February 05, 2025