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Report NEP-ETS-2019-06-17
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:
- Matteo Iacopini & Luca Rossini, 2019, "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers, arXiv.org, number 1906.02140, Jun.
- Ivan Mendieta-Munoz & Mengheng Li, 2019, "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2019_06.
- Bo Zhang & Jiti Gao & Guangming Pan, 2019, "A Near Unit Root Test for High-Dimensional Nonstationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/19.
- Earo Wang & Dianne Cook & Rob J Hyndman, 2019, "A New Tidy Data Structure to Support Exploration and Modeling of Temporal Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/19.
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019, "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1952, Jun.
- Cabana Garceran del Vall, Elisa & Lillo Rodríguez, Rosa Elvira & Laniado Rodas, Henry, 2019, "Shrinkage reweighted regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28500, Jun.
- David Frazier & Bonsoo Koo, 2019, "Indirect Inference for Locally Stationary Models," Papers, arXiv.org, number 1906.01768, Jun, revised May 2020.
- Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-24.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2019, "Updating Variational Bayes: Fast Sequential Posterior Inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/19.