401 Discussion Papers

• 22-022/III - Asymptotic properties of the weighted-average least squares (WALS) estimator

  Authors: Giuseppe De Luca, University of Palermo; Jan Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, University of Rome Tor Vergata

  Date: March 03, 2022

• 22-013/III - A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

  Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzollo, BI Norwegian Business School; Herman van Dijk, Erasmus University Rotterdam

  Date: February 14, 2022

• 22-011/III - A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

  Authors: Daan Opschoor, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

  Date: February 03, 2022

• 22-001/III - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam, Tinbergen Institute; Janneke van Brummelen, Vrije Universiteit Amsterdam, Tinbergen Institute; Paolo Gorgi, Vrije Universiteit Amsterdam, Tinbergen Institute; Siem Jan Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES, Aarhus University

  Date: January 06, 2022

• 21-109/III - Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

  Authors: Terri van der Zwan, Erasmus University Rotterdam, Tinbergen Institute; Erik Kole, Erasmus University Rotterdam, Tinbergen Institute; Michel van der Wel, Erasmus University Rotterdam, Tinbergen Institute

  Date: December 24, 2021

• 21-107/III - Sieve Bootstrap Inference for Time-Varying Coefficient Models

  Authors: Marina Friedrich, Vrije Universiteit Amsterdam, Tinbergen Institute; Yicong Lin, Vrije Universiteit Amsterdam

  Date: December 21, 2021

• 21-106/III - Statistics and Common Sense

  Authors: Nobuyuki Hanaki, ISER, Osaka University, Japan; Jan Magnus, Vrije Universiteit Amsterdam;

  Date: November 26, 2021

• 21-105/III - Gauss on Least-Squares and Maximum-Likelihood Estimation

  Author: Jan Magnus, Vrije Universiteit Amsterda,

  Date: November 26, 2021

• 21-103/III - Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil

  Authors: Knut Are Aastveit, Norges Bank, BI Norwegian Business School; Jamie L. Cross, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam, Tinbergen Institute, Norges Bank

  Date: November 24, 2021

• 21-099/III - An Empirical Assessment of the U.S. Phillips Curve over Time

  Authors: Marente Vlekke, CPB Netherlands Bureau for Economic Policy Analysis, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES Aarhus University; Martin Mellens, CPB Netherlands Bureau for Economic Policy Analysis

  Date: November 18, 2021

• 21-098/III - Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models

  Authors: F. Blasques, Vrije Universiteit Amsterdam, Tinbergen Institute; P. Gorgi, Vrije Universiteit Amsterdam, Tinbergen Institute; S.J. Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES Aarhus University

  Date: November 18, 2021

• 21-092/III - A Statistical Explanation of the Dunning-Kruger Effect

  Authors: Jan Magnus, Vrije Universiteit Amsterda,; Anatoly A. Peresetsky, National Research University Moscow

  Date: October 04, 2021

• 21-090/III - Finite Sample Evaluation of Causal Machine Learning Methods: Guidelines for the Applied Researcher

  Authors: Andrea A. Naghi, Erasmus University Rotterdam; Christian P. Wirths, Erasmus University Rotterdam

  Date: October 14, 2021

• 21-086/III - Jump Contagion among Stock Market Indices: Evidence from Option Markets

  Authors: H. Peter Boswijk, University of Amsterdam; Roger J.A. Laeven, University of Amsterdam; Andrei Lalu, University of Amsterdam; Evgenii Vladimirov, University of Amsterdam

  Date: September 23, 2021

• 21-085/III - Heterogeneity and Dynamics in Spatial Network Models

  Authors: Enzo D'Innocenzo, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam; Xingmin Zhang, Southwestern University of Finance and Economics

  Date: September 23, 2021

• 21-083/IV - Dynamic Conditional Correlations with Partial Information Pooling

  Authors: Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

  Date: September 16, 2021

• 21-080/III - Moments, Shocks and Spillovers in Markov-switching VAR Models

  Authors: Dick van Dijk, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam

  Date: September 14, 2021

• 21-062/III - Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies

  Authors: Terri van der Zwan, Erasmus University Rotterdam; Erik Hennink, Ortec Finance; Patrick Tuijp, Ortec Finance

  Date: July 04, 2021

• 21-059/III - COVID-19, Credit Risk and Macro Fundamentals

  Authors: Anna Dubinova, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam; Sean Telg, Vrije Universiteit Amsterdam

  Date: June 28, 2021

• 21-057/III - Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Enzo D'Innocenzo, University of Bologna; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: June 28, 2021