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Report NEP-ETS-2019-02-18
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:
- Alessandro Casini & Pierre Perron, 2018, "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-02, May.
- Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai Leung, 2018, "Estimating Multiple Breaks in Nonstationary Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 92074, Aug.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019, "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-09, Feb.
- Nick James & Roman Marchant & Richard Gerlach & Sally Cripps, 2019, "Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series," Papers, arXiv.org, number 1902.03350, Feb.
- Paolo Andreini & Donato Ceci, 2019, "A Horse Race in High Dimensional Space," CEIS Research Paper, Tor Vergata University, CEIS, number 452, Feb, revised 14 Feb 2019.
- Harvey, A. & Liao, Y., 2019, "Dynamic Tobit models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1913, Feb.
- Federico Carlini & Paolo Santucci de Magistris, 2019, "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-02, Jan.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019, "Integer-valued stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 91962, Feb, revised 04 Feb 2019.
- Pierre Perron & Yohei Yamamoto, 2018, "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-03, May, revised Dec 2018.
- Spiliotis, Evangelos & Petropoulos, Fotios & Kourentzes, Nikolaos & Assimakopoulos, Vassilios, 2018, "Cross-temporal aggregation: Improving the forecast accuracy of hierarchical electricity consumption," MPRA Paper, University Library of Munich, Germany, number 91762, Jul.
- Ozer Karagedikli & Shaun P. Vahey & Elizabeth C. Wakerly, 2019, "Improved Methods for Combining Point Forecasts for an Asymmetrically Distributed Variable," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-15, Feb.
- Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019, "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 01/2019, Jan.
- Susanne M. Schennach, 2018, "Long memory via networking," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP49/18, Jul.
- Hai-Chuan Xu & Gao-Feng Gu & Wei-Xing Zhou, 2019, "Direct determination approach for the multifractal detrending moving average analysis," Papers, arXiv.org, number 1902.04437, Feb.
- Raffaella Giacomini & Toru Kitagawa, 2018, "Robust Bayesian inference for set-identified models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP61/18, Nov.
- Paulo Parente & Richard J. Smith, 2018, "Kernel block bootstrap," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP48/18, Jul.
- Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019, "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers, arXiv.org, number 1902.03714, Feb.
- Verena Monschang & Bernd Wilfling, 2019, "Sup-ADF-style bubble-detection methods under test," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7819, Feb.