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Report NEP-ECM-2021-06-28
This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022, "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 30620, Jul.
- Dong Hwan Oh & Andrew J. Patton, 2021, "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-029r1, Apr, revised 06 May 2022, DOI: 10.17016/FEDS.2021.029r1.
- Cristian Roner & Claudia Di Caterina & Davide Ferrari, 2021, "Exponential Tilting for Zero-inflated Interval Regression with Applications to Cyber Security Survey Data," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS85, Jun.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021, "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Papers, arXiv.org, number 2106.12262, Jun, revised Feb 2022.
- Anand Deo & Karthyek Murthy, 2021, "Efficient Black-Box Importance Sampling for VaR and CVaR Estimation," Papers, arXiv.org, number 2106.10236, Jun.
- Claudia Noack, 2021, "Sensitivity of LATE Estimates to Violations of the Monotonicity Assumption," Papers, arXiv.org, number 2106.06421, Jun.
- Luca Merlo & Lea Petrella & Valentina Raponi, 2021, "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers, arXiv.org, number 2106.06518, Jun.
- Andersson, Angelica & Engelson, Leonid & Börjesson, Maria & Daly, Andrew & Kristoffersson, Ida, 2021, "Long-distance mode choice model estimation using mobile phone network data," Papers, Research Programme in Transport Economics, number 2021:1, Jun.
- Anders Bredahl Kock & David Preinerstorfer, 2021, "Superconsistency of Tests in High Dimensions," Papers, arXiv.org, number 2106.03700, Jun, revised Jan 2022.
- Toru Kitagawa & Shosei Sakaguchi & Aleksey Tetenov, 2021, "Constrained Classification and Policy Learning," Papers, arXiv.org, number 2106.12886, Jun, revised Jul 2023.
- Falk, Carl F. & Muthukrishna, Michael, 2021, "Parsimony in model selection: tools for assessing fit propensity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 110856, Oct.
- Abdulnasser Hatemi-J, 2021, "Dynamic Asymmetric Causality Tests with an Application," Papers, arXiv.org, number 2106.07612, Jun, revised Jun 2021.
- Zengjing Chen & Larry G. Epstein & Guodong Zhang, 2021, "A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits," Papers, arXiv.org, number 2106.05472, Jun, revised May 2022.
- Florian Eckerli & Joerg Osterrieder, 2021, "Generative Adversarial Networks in finance: an overview," Papers, arXiv.org, number 2106.06364, Jun, revised Jul 2021.