Mariia Artemova - Research

Publications

On the Use of Flexible Rolling-Window Estimation for Macroeconomic Forecasting, International Journal of Forecasting, forthcoming, 2026 [PDF] [code]
(with Francisco Blasques, Siem Jan Koopman and Zhaokun Zhang)

An Order-Invariant Score-Driven Dynamic Factor Model, Journal of Econometrics, Volume 251, 2025 [Download][SA]
[Best Graduate Paper in Macro Award at the IAAE 2023]

Score-Driven Models: Methodology and Theory, Oxford Research Encyclopedia of Economics and Finance, 2022 [Download, WP version]
(with Francisco Blasques, Janneke van Brummelen and Siem Jan Koopman)

Score-Driven Models: Methods and Applications, Oxford Research Encyclopedia of Economics and Finance, 2022 [Download, WP version]
(with Francisco Blasques, Janneke van Brummelen and Siem Jan Koopman)

Working papers

A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors [PDF]
(with Francisco Blasques and Siem Jan Koopman)

An Extended Score-Driven Dynamic Factor Model: Recovering Composite Indicators in Turbulent Times [PDF] [ECB presentation]
(with Dick van Dijk and Evgenii Vladimirov)

Work in progress

Realized autoregressive conditional betas (with Christian Francq and Sébastien Laurent)

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)