Learning Nonlinear Factor Models with Unknown Monotone Links from Incomplete and Noisy Data

Yutong Chao¹, Jalal Etesami¹, Ali Habibnia²

1: Technical University of Munich, Germany; 2: Virginia Tech, United States of America

Non-Gaussian Structural Dynamic Factor Models: Identification, Estimation, and Applications

Andrzej Kociecki¹, Christian Matthes², Michele Piffer³

1: University of Warsaw, Poland; 2: University of Notre Dame, USA; 3: Bank of England and King’s College London, UK

Factor-based imputation of missing values using cross-section averages

Tilman Bretschneider¹, Yousef Kaddoura²

1: Lund University, Sweden; 2: Örebro University

Estimation and Inference for Cointegrated Systems of Multi-Factor Production Functions: Modelling the Joint Behavior of GDP and Emissions

Sebastian Veldhuis¹, Martin Wagner^1,2

1: Department of Economics, Analytics and Operations Research, University of Klagenfurt; 2: Institute for Advanced Studies, Vienna

Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions with Local-to-Unity Regressors

Karsten Reichold, Ulrike Schneider

TU Wien, Austria

Practical estimation methods for high-dimensional multivariate stochastic volatility models

Jean-Marie Dufour, Nazmul Ahsan

McGill University, Canada

Incorporating Micro Data into Macro Models Using Pseudo VARs

Gary Koop¹, Stuart McIntyre¹, James Mitchell², Ping Wu¹

1: University of Strathclyde, United Kingdom; 2: Federal Reserve Bank of Cleveland, United States of America

Bayesian modelling of VAR precision matrices using stochastic block networks

Florian Huber¹, Gary Koop², Massimiliano Marcellino³, Tobias Scheckel¹

1: University of Salzburg, Austria; 2: University of Strathclyde, Great Britian; 3: Bocconi University, Italy

Nonlinear Autoregressive Models for Functional Time Series with Bayesian Additive Regression Trees

Eoghan O'Neill¹, Jiahao Cao², Maria Grith³, Anastasija Tetereva⁴, Guanyu Hu⁵

1: University College Dublin, Ireland; 2: University of Texas Health Science Center at Houston; 3: NEOMA Business School; 4: Erasmus University Rotterdam; 5: Michigan State University

Predicting Energy Demand with Tensor Factor Models

Mattia Banin², Matteo Barigozzi¹, Luca Trapin¹

1: University of Bologna, Italy; 2: European Investment Bank

Forecasting El Niño/Southern Oscillation (ENSO) using High Dimensional Factor Models

Alessandro Giovannelli¹, Marco Lippi², Tommaso Proietti³

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

Dynamic Clustering in Multi-Factor Copulas with Hidden Markov Models

Anouk Rensen, Anastasija Tetereva, Aaron Stefan Popa

Erasmus University Rotterdam, Netherlands, The

Let the Tree decide: FABART \\ A Non-Parametric Factor Model

Sofia Velasco¹, Eoghan O'Neill²

1: Banco de España, Spain; 2: University College Dublin

Inflation Forecasting with Large Language Models: A Real-Time Evaluation Against Central Bank Projections

Krystian Jaworski, Adam Wałach

SGH Warsaw School of Economics, Poland

Envelope Matrix Autoregressive Models

S. Yaser Samadi

SIUC, United States of America

Density nowcasts for U.S. GDP by probabilistic neural networks

Kristóf Németh, Dániel Hadházi

Department of Artificial Intelligence and Systems Engineering, Budapest University of Technology and Economics

BIS Time-series Regression Oracle

Batuhan Koyuncu², Byeungchun Kwon¹, Marco Lombardi¹, Fernando Perez-Cruz¹, Hyun Song Shin¹

1: Bank for International Settlements, Switzerland; 2: Saarland University

Gradient-Boosted Panel MIDAS Trees

Lucas Veraart¹, Bernhard Van Der Sluis¹, Anastasija Tetereva^1,2

1: Erasmus University Rotterdam, Netherlands, The; 2: Tinbergen Institute, Netherlands, The

Central bank independence and the transmission of external shocks in small open economies

Garo Garabedian

Central Bank of Ireland, Ireland

How to certify positivity of a given signed mixture of statistical densities.

Bernard Hanzon¹, Giulia Lombardi², Luigi Amedeo Bianchi²

1: University College Cork, Netherlands, The; 2: University of Trento, Italy

Forecast Combination with Random Subspaces: Accuracy Gains and Interpretability

Boris Kozyrev

Halle Institute for Economic Research (IWH), Germany

Bilinear Time Variation for High Dimensional TVP-VARs

Alessandro Celani¹, Luca Pedini²

1: Örebro University School of Business; 2: Fondazione ENI Enrico Mattei

Robust Tests of Forecast Accuracy for Factor-Augmented Regressions with an Application to the Novel EA-MD-QD Dataset

Alessandro Morico^1,2, Ovidijus Stauskas³

1: University of Bologna, Italy; 2: University of Freiburg, Germany; 3: BI Norwegian Business School, Norway

Implied Factors: The Linear Skeleton of Machine Learning Forecasts

Philippe Goulet Coulombe¹, Gabriel Rondon Rodriguez², Karin Klieber³

1: UQAM, Canada; 2: Bank of Canada; 3: ECB

Optimal Predictor Selection for Macroeconomic Time Series using Variable Importance in Random Forests

Tim Reinicke, Maurizio Daniele

ETH Zürich, Switzerland

Mapping the Design Space of High-Dimensional Macroeconomic Nowcasting

Sebastian Paul Koch¹, Yannic Prohaska^1,2, Leopold Sögner^1,3

1: Institute for Advanced Studies (IHS), Vienna, Austria; 2: Vienna University of Economics and Business (WU), Vienna, Austria; 3: Vienna Graduate School of Finance (VGSF), Vienna, Austria

Chronos-2: From Univariate to Universal Forecasting

Pablo Guerron

Boston College, United States of America

Power Priors for VARs

Martin Fankhauser¹, Massimiliano Marcellino², Tommaso Tornese³

1: Bocconi University, Italy; 2: Bocconi University, Italy; 3: Universita Cattolica del Sacro Cuore

A Dynamic Horseshoe Process Prior for High-dimensional time-varying parameter models

Sylvia Frühwirth-Schnatter, Peter Knaus

Vienna University of Economics and Business, Austria

Scenario Analysis with Multivariate Bayesian Machine Learning Models

Michael Pfarrhofer¹, Anna Stelzer²

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

Adaptive Targeted Predictors for Large-Scale Macroeconomic Forecasting

Laurent Florin, Tim Reinicke, Samad Sarferaz

KOF ETH Zürich, Switzerland

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