Statistics Netherlands uses a state space model to estimate the Dutch unemployment by using monthly series about the labour force surveys (LFS). More accurate estimates of this variable can be obtained by including auxiliary information in the model, such as the univariate administrative series...

We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In contrast to the typical matrix-valued distributions from the econometric literature, the F-Riesz distribution allows for di↵erent tail behavior across all variables in the...

We analyse optimal abatement and carbon pricing strategies under a variety of economic, temperature and damage risks. Economic growth, convex damages and temperature-dependent risks of climatic tipping points lead to higher growth rates, but gradual resolution of uncertainty lowers them. For...

This paper introduces a new class of observation-driven models, including score models as a special case. This new class inherits and extends the basic ideas behind the development of score models and addresses a number of unsolved issues in the score literature. In particular, the new class of...