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Report NEP-ETS-2019-04-15
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:
- Giuseppe Cavaliere & Anders Rahbek, 2019, "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers, University of Copenhagen. Department of Economics, number 19-03, Apr.
- Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2018, "The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-57, Aug.
- Angelos Alexopoulos & Petros Dellaportas & Omiros Papaspiliopoulos, 2019, "Bayesian prediction of jumps in large panels of time series data," Papers, arXiv.org, number 1904.05312, Mar, revised Apr 2021.
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019, "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper, University Library of Munich, Germany, number 93048, Mar.
- Chi-Young Choi & Alexander Chudik, 2019, "Estimating Impulse Response Functions When the Shock Series Is Observed," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 353, Mar, DOI: 10.24149/gwp353.
- Dennis Kristensen & Young Jun Lee, 2019, "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers, arXiv.org, number 1904.05209, Apr, revised Jul 2025.
- Pierre Henry-Labordere, 2019, "From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models," Papers, arXiv.org, number 1904.04554, Apr.
- Michael W. McCracken, 2019, "Tests of Conditional Predictive Ability: Some Simulation Evidence," Working Papers, Federal Reserve Bank of St. Louis, number 2019-11, Mar, DOI: 10.20955/wp.2019.011.
- Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018, "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-71, Nov.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019, "Another Look at Calendar Anomalies," Discussion Paper Series, Department of Economics, University of Macedonia, number 2019_02, Feb, revised Feb 2019.
- BOCART Fabian Y.R.P., & GHYSELS Eric, & HAFNER Christian,, 2018, "Monthly art market returns," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018028, Sep.
- Amin Azari, 2019, "Bitcoin Price Prediction: An ARIMA Approach," Papers, arXiv.org, number 1904.05315, Apr.
- Richard K. Crump & Nikolay Gospodinov, 2019, "Deconstructing the yield curve," Staff Reports, Federal Reserve Bank of New York, number 884, Apr.