Factor Models for High-Dimensional Functional Time Series

Marc Hallin

University of Brussels

Factors Common to Individual Stock and Sorted Portfolio Returns

Elena Andreou¹, Eric Ghysels², Patrick Gagliardini³, Mirco Rubin⁴

1: University of Cyprus and CEPR; 2: Università della Svizzera italiana, Lugano and Swiss Finance Institute; 3: University of North Carolina - Chapel Hill and CEPR; 4: EDHEC Business School, France

Dynamic Factor Models with Sparse VAR Idiosyncratic Components

Jonas Krampe¹, Luca Margaritella²

1: University of Mannheim, Germany; 2: Lund University, Sweden

New Tests for the Number of Common Dynamic Factors

Federico Carlini¹, Mirco Rubin²

1: LUISS Guido Carli University, Italy; 2: EDHEC Business School, France

Band-Pass Filtering in the Time Domain: Empirical Evidence on US GDP

Alessandro Giovannelli¹, Marco Lippi², Tommaso Proietti³

1: University of L'Aquila, Italy; 2: Einaudi Institute of Economics and Finance (EIEF); 3: University of Rome Tor Vergata

Causal Vector Autoregression

Marianna Bolla

Budapest University of Technology and Economics, Hungary

Cross-Sectional Error Dependence in Panel Quantile Regressions

Matei Demetrescu¹, Mehdi Hosseinkouchak²

1: University of Kiel, Germany; 2: EBS University, Germany

Star struck; Monetary policy and the neutral real rate

Garo Garabedian

Central Bank of Ireland, Ireland

Financial volatility modeling with option-implied information and important macro-factors

Menelaos Karanasos¹, Stavroula Yfanti²

1: Brunel University, United Kingdom; 2: Loughborough University

Modeling extreme events: time-varying extreme tail shape

Andre Lucas¹, Bernd Schwaab², Xin Zhang³

1: VU Amsterdam, The Netherlands; 2: European Central Bank, Germany; 3: Riksbank, Sweden

Bayesian reconciliation of the return predictability.

Borys Koval¹, Leopold Sögner², Sylvia Frühwirth-Schnatter³

1: University of Vienna, Austria; 2: Institute for Advanced Studies; 3: Vienna University of Economics and Business

Monitoring the pandemic: A fractional filter for the COVID-19 contact rate

Tobias Hartl^1,2

1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB) Nuremberg, Germany

Identification of Non-Rational Risk Shocks

Maximilian Böck^1,2

1: Vienna School of International Studies; 2: Vienna University of Economics and Business, Austria

Laudatio

Marc Hallin

University of Brussels

Impulse response estimation via flexible local projections

Haroon Mumtaz¹, Michele Piffer²

1: Queen Mary University, United Kingdom; 2: Kings College London,United Kingdom

Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence

Uwe Hassler¹, Mehdi Hosseinkouchack²

1: Goethe Univery Frankfurt, Germany; 2: EBS University, Germany

Nonlinear shrinkage estimation of large-dimensional covariance matrices using splines

Geert Dhaene, Nicolas Tavernier

KU Leuven, Belgium

Structural Estimation Combining Micro and Macro Data

Luca Neri

Aarhus University, Denmark

Entropy and Kullback-Leibler formulas for rational densities.

Bernard Hanzon, Yen Trinh

University College Cork, Ireland

A Unified Framework to Estimate Macroeconomic Stars

Saeed Zaman

Federal Reserve Bank of Cleveland, United States of America

Predicting Default Probabilities for Stress Tests: A Comparison of Models

Martin Guth

Oesterreichische Nationalbank (OeNB), Austria

Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data

Giovanni Ballarin¹, Petros Dellaportas^2,3, Lyudmila Grigoryeva⁴, Marcel Hirt², Sophie van Huellen⁵, Juan-Pablo Ortega⁶

1: University of Mannheim, Germany; 2: UCL, United Kingdom; 3: Athens University of Economics, Greece; 4: University of Warwick, United Kingdom; 5: University of Manchester, United Kingdom; 6: Nanyang Technological University, Singapore

A unified theory for ARMA models with varying coefficients: One solution fits all

Alexandros Paraskevopoulos¹, Menelaos Karanasos², Alessandra Canepa³, Anastasios Magdalinos⁴

1: University of Piraeus, Greece; 2: Brunel University London, UK; 3: University of Torino, Italy; 4: University of Southampton, UK

A stochastic parameter three pass regression filter

Yiannis Dendramis¹, George Kapetanios², Massimiliano Marcellino³

1: Athens University of Economics and Business; 2: Kings College; 3: Bocconi University

Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Importance of Matrix Inequalities

Menelaos Karanasos¹, Yongdeng Xu²

1: Brunel University, United Kingdom; 2: Cardiff University, UK

Large Dynamic Covariance Matrices: Enhancements Based On Intraday Data

Gianluca De Nard¹, Rob Engle², Olivier Ledoit¹, Michael Wolf¹

1: University of Zurich, Switzerland; 2: New York University

On Statistical Inference in Factor Analysis: Polynomial-Time Verification of the Anderson-Rubin Condition

Sylvia Frühwirth-Schnatter, Darjus Hosszejni

Wirtschaftsuniversität Wien, Austria

Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models

Andrzej Kociecki¹, Michele Piffer²

1: University of Warsaw; 2: King's College London

Forecasting with panel data: estimation uncertainty versus parameter heterogeneity

Hashem Pesaran

University of Southern California

Singular Stochastic Processes with Rational Spectrum: Applications to Macroeconometrics

Marco Lippi

Universita' di Roma La Sapienza e EIEF

Regularity and low rank approximation of multidimensional weakly stationary time series

Tamás Szabados

Budapest University of Technology and Economics, Hungary

Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction

Sven Otto, Nazarii Salish

University Carlos III de Madrid, Spain

REMIS for Generalised Dynamic Factor Models: Representation Theory

Philipp Gersing^1,2, Christoph Rust¹, Manfred Deistler²

1: WU Wirtschaftsuniversität Vienna; 2: TU Vienna

REMIS (Retrieval from Mixed Sampling) for VARs and VARMAs

Philipp Gersing^1,2, Manfred Deistler^1,2

1: Vienna University of Technology, Austria; 2: Vienna University of Business and Economics

Generic Identifiability for REMIS: Cointegrated Unit Root VAR-Case

Philipp Gersing^1,2, Leopold Sögner^2,3, Manfred Deistler^1,2

1: Vienna University of Technology, Austria; 2: Vienna University of Business and Economics; 3: Institute for Advanced Studies Vienna

Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!

Luis Gruber, Gregor Kastner

University of Klagenfurt, Austria

Time-varying Risk Premia and Volatility Dynamics in Multi-Asset Class Returns

Gregor Kastner¹, Davide Pettenuzzo², Allan Timmermann³

1: University of Klagenfurt; 2: Brandeis University; 3: University of California San Diego

Bayesian modeling and clustering for spatio-temporal areal data

Alexander Mozdzen¹, Gregor Kastner¹, Alessandra Guglielmi², Andrea Cremaschi³, Annalisa Cadonna⁴

1: Universität Klagenfurt; 2: Politecnico di Milano; 3: Yale-NUS College; 4: Crayon AI Solutions Services

Can Alternative Data Improve the Accuracy of Factor Model Nowcasts? High Frequency Evidence from the Euro Area

Radu Gabriel Cristea

University of Cambridge, United Kingdom

Spectral Analysis of High-Dimensional Time Series

Jonas Krampe¹, Stathis Paparoditis²

1: University of Mannheim, Germany; 2: University of Cyprus

Determining the number of factors in fractionally integrated factor models

Dominik Ammon¹, Tobias Hartl^1,2, Rolf Tschernig¹

1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB), Germany

The Spectral Approach to Linear Rational Expectations Models

Majid Al Sadoon

Durham University Business School, United Kingdom

Spectra, Dynamic PCs and Factors via Block Matrix Decompositions

Marianna Bolla

Budapest University of Technology and Economics, Hungary

Adaptive Subspace Shrinkage with Mixture Functional Horseshoe Priors

Florian Huber¹, Matteo Iacopini^2,3, Rossini Luca⁴

1: University of Salzburg; 2: Vrije Universiteit Amsterdam, The Netherlands; 3: Tibergen Institute, The Netherlands; 4: University of Milan

Dynamic factor models with common (drifting) stochastic trends

Sylvia Kaufmann

Study Center Gerzensee, Switzerland

What are the events that shake our world? Measuring and hedging GEOVOL

Susana Campos Martins, Robert Engle

University of Oxford, United Kingdom

Linear System Theory Challenges and Insights arising in Dynamic Factor Models

Brian Anderson

Australian National University