Econometrics Seminar

• The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

• Optimal Monetary Policy in a Data-Rich Environment

• Understanding the Size of the Government Spending Multiplier: It's All in the Sign

• Optimal Retrospective Sampling for a Class of Variable Dimension Models

• No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

• Generalized Jackknife Estimators of Weighted Average Derivatives

• Elena Manresa

• Rosa Matzkin

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  Econometrics Seminar

• Predictive Macro-Finance: Dynamic Term Structure Modeling with Regime Switches

• Forecasting the Yield curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach

• Factor Estimation in Nonlinear, Non-Gaussian Big-Data Environments

• Prior Hyperparameters in Time-Varying Multivariate Time Series Models

• Financial Trading Over The Years: A Multifractal Intensity Perspective

• Adaptive Shrinkage Estimation of Dynamic Factor Models with Structural Instabilities