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Report NEP-ETS-2018-02-12
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:
- Rasmus Søndergaard Pedersen & Olivier Wintenberger, 2017, "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print, HAL, number hal-01436267.
- Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018, "Calibration for Weak Variance-Alpha-Gamma Processes," Papers, arXiv.org, number 1801.08852, Jan, revised Jul 2018.
- J. Eduardo Vera-Vald'es, 2018, "Nonfractional Memory: Filtering, Antipersistence, and Forecasting," Papers, arXiv.org, number 1801.06677, Jan.
- Denisa Roberts & Douglas Patterson, 2018, "A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity," Papers, arXiv.org, number 1801.06727, Jan, revised Mar 2020.
- Hiroyuki Kasahara & Katsumi Shimotsu, 2018, "Testing the Number of Regimes in Markov Regime Switching Models," Papers, arXiv.org, number 1801.06862, Jan, revised Jan 2018.
- Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018, "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers, arXiv.org, number 1802.00793, Feb.
- Fischer, Thomas & Krauss, Christopher & Treichel, Alex, 2018, "Machine learning for time series forecasting - a simulation study," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 02/2018.
- Baumeister, Christiane & Hamilton, James, 2017, "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Deman," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12532, Dec.