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

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

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

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

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

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