408 Discussion Papers

• 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

• 25-074/III - Exponentially weighted estimands and the exponential family: Filtering, prediction and smoothing

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

  Date: December 18, 2025

• 25-065/III - The role of news and social pressure in shaping U.S. public opinion on climate change

  Authors: Masako Ikefuji, University of Osaka; Jan R. Magnus, Vrije Universiteit Amsterdam; Zhehao Wang, University of Osaka

  Date: November 21, 2025

• 25-063/III - Testing for the Absence of Score-Driven Parameter Dynamics

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

  Date: October 24, 2025

• 25-056/III - Do shocks divide or unite: Evidence from the Netherlands

  Authors: Yannick van Etten, Tinbergen Institute; Jan Magnus, Vrije Universiteit Amsterdam; Tetsuya Matsubayashi, The University of Osaka

  Date: September 26, 2025

• 25-053/III - Exploring the crime drop in European Union homicide rates using econometric modeling

  Authors: Ilka van de Werve, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Frank Weerman, Netherlands Institute for the Study of Crime and Law Enforcement; Arjan Blokland

  Date: September 19, 2025

• 25-051/III - An Impartial Look at Asset Correlation Stability and Market Structure

  Authors: Etienne Wijler, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: September 19, 2025

• 25-048/III - More information, less precision: meta-analysis through random effects

  Authors: Jan Magnus, Vrije Universiteit Amsterdam; Andrey L. Vasnev, University of Sydney

  Date: August 22, 2025

• 25-045/III - A General Randomized Test for Alpha

  Authors: Daniele Massacci, King's College London; Lucio Sarno, University of Cambridge; Lorenzo Trapani, University of Pavia; Pierluigi Vallarino, Erasmus University Rotterdam

  Date: July 25, 2025

• 25-042/III - Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Shiqi Ye, AMSS Center for Forecasting Science

  Date: July 04, 2025

• 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