Nowcasting Low-Income Countries Through Global Linkages

Domenico Giannone¹, Omer Faruk Akbal²

1: Johns Hopkins University; 2: International Moentary Fund

Quantifying Demand Shocks in the Green and Digital Transition

Marco Zoso¹, Andrea Bastianin², Luca Rossini²

1: University of Milan Bicocca + FEEM, Italy; 2: University of Milan + FEEM, Italy

Unfolding Regional Business Cycles: Factor Models for Three-Way State-Level Tensors

Sebastian Fossati

University of Alberta, Canada

Bridging Dense and Sparse Models in High-Dimensional Quantile Regression

Yaping Wang

Universitat Pompeu Fabra, Spain

High-Dimensional Nonparametric Local Projections

Jiaming Huang¹, Oscar Jorda², Massimiliano Marcellino³, Tommaso Tornese⁴

1: The Hong Kong University of Science and Technology; 2: UC Davis and San Francisco FED; 3: Bocconi University; 4: Università Cattolica

Convex validation of kernel ridge regression

Damir Filipovic¹, Paul Schneider², Reza Izadpanah Tousi²

1: EPFL; 2: Universita' della Svizzera Italiana, Switzerland

Common factors in large panels of equity options

Maria Grith¹, Aaron Popa², Paolo Santucci de Magistris³, Francesco Violante⁴

1: Neoma Business School, France; 2: Erasmus University Rotterdam; 3: Luiss University; 4: IESEG School of Management

The US yield curve with cointegration and a time-varying factor structure

Chiara Casoli^1,2, Giovanni Ferretti³, Riccardo Lucchetti³

1: Università degli Studi dell'Insubria, Italy; 2: Fondazione Eni Enrico Mattei, Italy; 3: Università Politecnica delle Marche, Italy

Common Factors in Currency Characteristics

Moritz Dauber, Dennis Umlandt

University of Innsbruck, Austria

Global Interdependencies in Time Series: Bringing together GVAR and Matrix Autoregressive Models

Kurtulus Kidik, Dietmar Bauer

Bielefeld University, Germany

Score Autoregressive Models

Emilija Dzuverovic¹, Andrew Harvey², Dario Palumbo³

1: Department of Economics, Ca' Foscari University of Venice; 2: Faculty of Economics, Cambridge University; 3: Department of Economics, Ca' Foscari University of Venice

Moderate Time-Varying Parameter VARs

Alessandro Celani¹, Luca Pedini²

1: Örebro University School of Business, Örebro, Sweden.; 2: Fondazione ENI Enrico Mattei, Milan, Italy

The Predictive Power of Fedspeak

Nick Hallmark¹, Andrej Sokol²

1: Bloomberg, United States; 2: Bloomberg, Germany

Are there asymmetries in euro area monetary policy?

Michael Pfarrhofer¹, Anna Stelzer²

1: WU Vienna; 2: Oesterreichische Nationalbank, Austria

Building Climate Indices of Maximal Macroeconomic Relevance via the Assemblage VAR

Christophe Barrette¹, Philippe Goulet Coulombe², Tim Reinicke³

1: University Bocconi, Italy; 2: Université du Québec à Montréal; 3: ETH Zurich

Per capita Income Convergence in Central Europe: Does the 2004 Accession to the European Union matter?

Andrzej Cieslik, Tomasz Misiak

University of Warsaw, Poland

Forecast Combination for Tail Risk with Regulator-Aware Decision Trees

Anastasija Tetereva¹, Ekaterina Kazak²

1: Erasmus University Rotterdam; 2: University of Birmingham, United Kingdom

Monthly GDP estimates for the euro area and its countries

Yiqiao Sun¹, Sercan Eraslans², Deborah Gefang³

1: European Central Bank, Germany; 2: Deutsche Bundesbank; 3: University of Leicester

Comparison in Dynamic Forecasting: A Bayesian LASSO State-Space and Bayesian Factor VAR Analysis

Mingchuan Zhou

University College Dublin, Ireland

Exploiting common volatility dynamics in high-dimensional portfolio selection

Dominik Ammon, Julian Heinz

University of Regensburg, Germany

Behind the Curve: How the Fed Missed Inflation Risks Using a High-Dimensional Distributional VAR (HiDVAR)

Luca Schmitz^1,2

1: Institute for Monetary and Financial Stability, Germany; 2: Goethe University Frankfurt, Germany

Nelson–Siegel Autoencoders for Global Yield Curve Forecasting

Aaron Popa¹, Maria Grith², Anastasija Tetereva¹

1: Erasmus School of Economics, Netherlands, The; 2: Neoma Business School, France

Signal-Selected Sparse Equal-Weight Portfolios

Sven Lehmann¹, Rainer Alexander Schüssler²

1: University of Hagen, Germany,; 2: Aalborg University Business School, Denmark

GENERALLY SHIFTING COEFFICIENTS IN INTERACTIVE EFFECTS PANEL DATA MODELS AND THE UNIQUE COVID-19 REGIME

Yousef Kaddoura¹, Joakim Westerlund²

1: Örebro University, Sweden; 2: Lund University, Sweden

Change Point and Bubble Detection in Time Series Using Mixed Integer Programming

Artem Prokhorov^1,2, Peter Radchenko², Alexander Semenov³, Anton Skrobotov¹

1: HSE University, Russian Federation; 2: University of Sydney; 3: University of South Florida

Determinants and forecasting of German day-ahead electricity prices and volatility

Giovanni Masala

University of Cagliari, Italy

Fast Factor Extraction for Mixed Data Types

Matei Demetrescu, Fabian Schmidt

TU Dortmund University, Germany

A geometric approach to factor model identification

Sylvia Kaufmann, Markus Pape

Study Center Gerzensee and University of Basel, Switzerland

Infinite Dimensional Factor Spaces by Subspace Methods

Matteo Barigozzi², Philipp Gersing¹

1: Department of Statistics and Operations Research, University of Vienna, Austria; 2: Department of Economics, Università di Bologna