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Report NEP-ETS-2016-12-11
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:
- Takaki Hayashi & Yuta Koike, 2016, "Wavelet-based methods for high-frequency lead-lag analysis," Papers, arXiv.org, number 1612.01232, Dec, revised Nov 2018.
- Didier Nibbering & Richard Paap & Michel van der Wel, 2016, "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-107/III, Dec, revised 13 Oct 2017.
- Kurz-Kim, Jeong-Ryeol, 2016, "Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators," Discussion Papers, Deutsche Bundesbank, number 47/2016.
- Matthieu Garcin, 2016, "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Working Papers, HAL, number hal-01399570, Nov.
- Delle Monache, Davide & Petrella, Ivan, 2016, "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper, University Library of Munich, Germany, number 75424, Sep.