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Report NEP-ETS-2018-10-15
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:
- Götz, Thomas B. & Hauzenberger, Klemens, 2018, "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers, Deutsche Bundesbank, number 40/2018.
- Junyan Liu & Sandeep Kumar & Daniel P. Palomar, 2018, "Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM," Papers, arXiv.org, number 1809.07203, Sep, revised Feb 2019.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201817, Oct.
- Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018, "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 18-12, Oct.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 27483, Sep.
- Yanfei Kang & Rob J Hyndman & Feng Li, 2018, "Efficient generation of time series with diverse and controllable characteristics," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/18.
- Aknouche, Abdelhakim & Demouche, Nacer, 2018, "Ergodicity conditions for a double mixed Poisson autoregression," MPRA Paper, University Library of Munich, Germany, number 88843, Mar.
- Zacharias Psaradakis & Marian Vavra, 2018, "Bootstrap Assisted Tests of Symmetry for Dependent Data," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 5/2018, Oct.
- Sevvandi Kandanaarachchi & Mario A Munoz & Rob J Hyndman & Kate Smith-Miles, 2018, "On normalization and algorithm selection for unsupervised outlier detection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/18.
- Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018, "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/18.
- Andres Ramirez-Hassan & Manuel Correa-Giraldo, 2018, "Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach," Papers, arXiv.org, number 1809.06996, Sep.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 27484, Sep.