Papers submitted or under revision
G. BORMETTI, F. CORSI (2022) “A Lucas Critique Compliant SVAR Model With Observation-Driven Time-Varying Parameters”. Slides.
F. CORSI, L. LONGO, F. CORDONI (2022) “SVAR Identification with High-Frequency Macroeconomic Data“. Slides, poster.
BUCCHERI, G. BORMETTI, F. CORSI, F. LILLO (2023) “Robust Recursive Filtering and Smoothing”. Slides (old).
CORDONI, F. CORSI (2021) “Identification of Overdetermined and Noisy Structural VAR Models: The Collapsing-ICA Approach”.