Working papers
A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors. [PDF]
(with Francisco Blasques and Siem Jan Koopman)
Abstract: We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel multilevel factor model. The proposed model is suitable for high-dimensional panels of economic time series and allows for interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is simple and fast in its implementation. By analyzing the shock propagation process throughout the network of interconnections, we corroborate some of the key findings about the role of industrial production in the US economy, quantify the importance of propagation effects and shed new light on dynamic sectoral linkages.
On the Use of Flexible Rolling-Window Estimation for Macroeconomic Forecasting. [PDF] [code]
(with Francisco Blasques, Siem Jan Koopman and Zhaokun Zhang)
Abstract: We propose a flexible rolling window estimation procedure which improves forecasting accuracy of misspecified linear autoregressive models. The method assigns different weights to data points in the observed sample which can be useful in the presence of data generating processes featuring structural breaks, complex nonlinearities, or other time-varying properties not easily captured by model design. We show how the window can be regularized by means of cross-validation. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting accuracy of misspecified models. In our empirical study, we achieve higher forecasting accuracy for key macroeconomic indicators by assigning greater weight to periods with similar business cycle regimes.
Work in progress
Realized autoregressive conditional betas (with Christian Francq and SĂ©bastien Laurent)
An Extended Score-Driven Dynamic Factor Model: Recovering Composite Indicators from the Pandemic (with Dick van Dijk and Evgenii Vladimirov)
Pre-graduate publications
Financial Cycles in the Eurasian Economic Union, Finance and Business, 2019-4, p. 40-80.
(with Yulia Vymyatnina)
Policy note
Regional Heterogeneity of Household Lending based on the Findings of the Household Finance Survey: Regional Features and Potential Risks, Analytical Note by the Research and Forecasting Department of the Bank of Russia, 2018.
(with Mariam Mamedli and Andrey Sinyakov)