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Report NEP-ETS-2019-01-21
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:
- Gordon V. Chavez, 2019, "Dynamic tail inference with log-Laplace volatility," Papers, arXiv.org, number 1901.02419, Jan, revised Jul 2019.
- Chappell, Daniel, 2018, "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper, University Library of Munich, Germany, number 90682, Sep.
- George Kapetanios & M. Hashem Pesaran & Simon Reese, 2018, "A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models," CESifo Working Paper Series, CESifo, number 7401.
- Arnoud Stevens & Joris Wauters, 2018, "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research, National Bank of Belgium, number 355, Oct.
- Luisa Bisaglia & Matteo Grigoletto, 2018, "A new time-varying model for forecasting long-memory series," Papers, arXiv.org, number 1812.07295, Dec.
- Stauskas, Ovidijus, 2019, "On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors," Working Papers, Lund University, Department of Economics, number 2019:2, Jan.
- Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018, "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers, arXiv.org, number 1812.07318, Dec, revised May 2024.
- Aknouche, Abdelhakim & Francq, Christian, 2018, "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper, University Library of Munich, Germany, number 90838, Nov.
- Nyoni, Thabani, 2019, "Where is Kenya being headed to? Empirical evidence from the Box-Jenkins ARIMA approach," MPRA Paper, University Library of Munich, Germany, number 91395, Jan.
- Nyoni, Thabani, 2019, "Is Nigeria's economy progressing or backsliding? Implications from ARIMA models," MPRA Paper, University Library of Munich, Germany, number 91396, Jan.
- Nyoni, Thabani, 2019, "Modeling and forecasting population in Bangladesh: a Box-Jenkins ARIMA approach," MPRA Paper, University Library of Munich, Germany, number 91394, Jan.
- Halkos, George & Tzirivis, Apostolos, 2018, "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper, University Library of Munich, Germany, number 90781, Dec.