Working papers

  1. Justus Holman, Yicong Lin, Andre Lucas, and Anne Opschoor. Joint eigenvector and eigenvalue dynamics with an application to time-varying covariance matrices. [Submitted]

  2. Yicong Lin. Confidence sets for the date of a weak mean break in functional data. [Submitted]

  3. Yicong Lin and Andre Lucas. Testing for univariate score-driven parameter dynamics. [R&R]

    updated manuscript • TI discussion paper (previous title: Testing for the absence of score-driven parameter dynamics)

  4. Yicong Lin and Andre Lucas. Robust observation-driven location-scale dynamics for objects on multi-dimensional domains. [Revision requested]

    updated manuscript • TI discussion paper (previous title: Functional location-scale models with robust observation-driven dynamics)

  5. Chenhui Wang, Juan Juan Cai, Yicong Lin and Julia Schaumburg. Clustering extreme value indices in large panels. [R&R2]

  6. Xia Zou, Yicong Lin, and Andre Lucas. Improving score-driven density forecasts with an application to implied volatility surface dynamics. [Revision requested]

  7. Yicong Lin, Bernhard van der Sluis, and Marina Friedrich. Bootstrapping trending time-varying coefficient panel models with missing observations.

    updated manuscript • TI discussion paper • MATLAB code & data (maintainer: Yicong Lin, Bernhard van der Sluis)