Research

Publications

• Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models (2025)

(with Dick van Dijk), Journal of Applied Econometrics, Forthcoming

• A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound (2025)

(with Michel van der Wel), Journal of Business & Economic Statistics, 43(2) p298-311

• Heterogeneity in Manufacturing Growth Risk (2024)

(with Dick van Dijk and Philip Hans Franses), Journal of Money, Credit & Banking, Forthcoming

Working papers

• Tracking Sectoral Economic Conditions (2023).

R&R Journal of Applied Econometrics.

Work in progress

• Time-Varying Predictability in Supervised PCA Methods

(with Laurent Ferrara and Dick van Dijk)

• Forecasting Using a Supervised Collapsed Dynamic Factor Model

(with Sam van Meer and Dick van Dijk)