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Report NEP-ETS-2018-11-05
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:
- Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2018, "Principal component analysis for second-order stationary vector time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 84106, Oct.
- Elvin Isufi & Andreas Loukas & Nathanael Perraudin & Geert Leus, 2018, "Forecasting Time Series with VARMA Recursions on Graphs," Papers, arXiv.org, number 1810.08581, Oct, revised Jul 2019.
- Ollech, Daniel, 2018, "Seasonal adjustment of daily time series," Discussion Papers, Deutsche Bundesbank, number 41/2018.
- Christian Bayer & Benjamin Stemper, 2018, "Deep calibration of rough stochastic volatility models," Papers, arXiv.org, number 1810.03399, Oct.
- Avraam Tsantekidis & Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018, "Using Deep Learning for price prediction by exploiting stationary limit order book features," Papers, arXiv.org, number 1810.09965, Oct.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018, "On LASSO for Predictive Regression," Papers, arXiv.org, number 1810.03140, Oct, revised Feb 2021.
- Olivier Ledoit & Michael Wolf, 2018, "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers, Department of Economics - University of Zurich, number 305, Oct.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018, "Factor-Driven Two-Regime Regression," Department of Economics Working Papers, McMaster University, number 2018-14, Oct.
- Hilde C. Bjørnland & Julia Zhulanova, 2018, "The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 8/2018, Oct.
- Den Haan, Wouter J. & Drechsel, Thomas, 2018, "Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90384, Aug.
- Schreiber, Sven, 2018, "Weather-induced Short-term Fluctuations of Economic Output," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181622.