Discussion Papers

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; Bram van Os, Vrije Universiteit Amsterdam; Dick van Dijk, Erasmus University Rotterdam

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

24-082/III - Dynamic kernel models

Author: Pierluigi Vallarino, Erasmus University Rotterdam

Date: December 31, 2024

24-080/III - Influential assets in Large-Scale Vector AutoRegressive Models

Authors: Kexin Zhang, City University of Hong Kong; Simon Trimborn, University of Amsterdam

Date: December 20, 2024

24-077/III - Three-Sided Testing to Establish Practical Significance: A Tutorial

Authors: Peder Isager, Oslo New University College; Jack Fitzgerald, Vrije Universiteit Amsterdam

Date: December 20, 2024

24-075/III - Estimation of Linear models from Coarsened Observations: A Method of Moments Approach

Authors: Bernard M.S. van Praag, University of Amsterdam; J. Peter Hop; William H. Greene, University of South Florida

Date: December 12, 2024

24-074/III - Asymmetric Gradualism in US Monetary Policy

Authors: Knut Are Aastveit, Norges Bank; Jamie Cross, Melbourne Business School; Francesco Furlanetto, Norges Bank; Herman K van Dijk, Erasmus University Rotterdam

Date: December 12, 2024

24-072/III - Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model

Author: Gabriele Mingoli, Vrije Universiteit Amsterdam

Date: November 29, 2024

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