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Report NEP-ETS-2019-03-11
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:
- Ashesh Rambachan & Neil Shephard, 2019, "When do common time series estimands have nonparametric causal meaning?," Papers, arXiv.org, number 1903.01637, Mar, revised Jan 2025.
- Kapetanios, George & Papailias, Fotis & Taylor, AM Robert, 2019, "A Generalised Fractional Differencing Bootstrap for Long Memory Processes," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 24136, Feb.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019, "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 24137, Dec.
- Koo, B. & La Vecchia, D. & Linton, O., 2019, "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1916, Feb.
- Reza Hajargasht, 2019, "Approximation Properties of Variational Bayes for Vector Autoregressions," Papers, arXiv.org, number 1903.00617, Mar.
- Sebastian Kripfganz & Daniel C. Schneider, 2019, "Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models," Discussion Papers, University of Exeter, Department of Economics, number 1901.
- Item repec:imf:imfwpa:19/35 is not listed on IDEAS anymore
- Chloe Lacombe & Aitor Muguruza & Henry Stone, 2019, "Asymptotics for volatility derivatives in multi-factor rough volatility models," Papers, arXiv.org, number 1903.02833, Mar, revised Oct 2020.
- Gregor Kastner & Sylvia Fruhwirth-Schnatter, 2017, "Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models," Papers, arXiv.org, number 1706.05280, Jun.
- Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28133, Jan.