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Report NEP-ETS-2016-04-30
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Antti J. Tanskanen & Jani Lukkarinen & Kari Vatanen, 2016, "Random selection of factors preserves the correlation structure in a linear factor model to a high degree," Papers, arXiv.org, number 1604.05896, Apr, revised Dec 2018.
- David T. Frazierz & Eric Renault, 2016, "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers, CIRANO, number 2016s-16, Apr.
- Till Weigt & Bernd Wilfling, 2016, "A new combination approach to reducing forecast errors with an application to volatility forecasting," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4616, Apr.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/16.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016, "Density Forecast Evaluation in Unstable Environments," Working Papers, University of California at Riverside, Department of Economics, number 201606, Apr.