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Report NEP-ETS-2019-02-04
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:
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019, "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-08, Jan.
- Leo Krippner, 2019, "Will the Real Eigensystem VAR Please Stand Up? A Univariate Primer," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-01, Jan.
- Mohitosh Kejriwal & Xuewen Yu, 2018, "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1308, Dec.
- Maria C Mariani & Md Al Masum Bhuiyan & Osei K Tweneboah & Hector Gonzalez-Huizar & Ionut Florescu, 2019, "Volatility Models Applied to Geophysics and High Frequency Financial Market Data," Papers, arXiv.org, number 1901.09145, Jan.
- Linton, O. & Xiao, Z., 2019, "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1907, Jan.
- Majid M. Al-Sadoon & Sergi Jiménez-Martín & Jose M. Labeaga, 2019, "Simple methods for consistent estimation of dynamic panel data sample selection models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1631, Jan.
- Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019, "Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data," Papers, arXiv.org, number 1901.08280, Jan.
- Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2019, "lassopack: Model selection and prediction with regularized regression in Stata," Papers, arXiv.org, number 1901.05397, Jan.
- MAO TAKONGMO, Charles Olivier, 2019, "Keynesian Models, Detrending, and the Method of Moments," MPRA Paper, University Library of Munich, Germany, number 91709.
- Ulrik W. Nash, 2019, "The Wisdom of a Kalman Crowd," Papers, arXiv.org, number 1901.08133, Jan.
- Kunpeng Li & Qi Li & Lina Lu, 2018, "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 18-2, Apr.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019, "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25481, Jan.