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econ.EM2026
Transformer-based CoVaR: Systemic Risk in Textual Information
Junyu Chen, Tom Boot, Lingwei Kong +1
Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a T…
econ.EM2025
Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections
Tom Boot, Bart Keijsers
We study the accuracy of forecasts in the diffusion index forecast model with possibly weak loadings. The default option to construct forecasts is to estimate the factors through p…
econ.EM2024
Inference on LATEs with covariates
Tom Boot, Didier Nibbering
In theory, two-stage least squares (TSLS) identifies a weighted average of covariate-specific local average treatment effects (LATEs) from a saturated specification, without making…