Andries van Vlodrop

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

100

CITATIONS

3

Scholarly Papers (3)

1.

Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

Tinbergen Institute Discussion Paper 2018-025/IV
Number of pages: 54 Posted: 26 Mar 2018
Marta Banbura and Andries van Vlodrop
European Central Bank and VU University Amsterdam
Downloads 58 (358,037)
Citation 31

Abstract:

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Consensus forecasts, forecast evaluation, large cross-sections, state space models

2.

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

Tinbergen Institute Discussion Paper 2018-099/III
Number of pages: 34 Posted: 07 Jan 2019
Andries van Vlodrop and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 25 (486,855)

Abstract:

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Portfolio allocation, high dimensions, linear and non-linear shrinkage, factor models

3.

Finite Sample Optimality of Score-Driven Volatility Models

Tinbergen Institute Discussion Paper 17-111/III
Number of pages: 23 Posted: 29 Nov 2017
Francisco Blasques, Andre Lucas and Andries van Vlodrop
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 17 (532,363)
Citation 2

Abstract:

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Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality