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Report NEP-ETS-2019-07-15
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:
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019, "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_05, Jul.
- Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019, "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_04, Jul.
- Catherine Doz & Peter Fuleky, 2019, "Dynamic Factor Models," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2019-4, Jul.
- Sebastian Ankargren & Paulina Jon'eus, 2019, "Simulation smoothing for nowcasting with large mixed-frequency VARs," Papers, arXiv.org, number 1907.01075, Jul.
- Chao Wang & Richard Gerlach, 2019, "Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall," Papers, arXiv.org, number 1906.09961, Jun.
- Nick Whiteley, 2019, "Dynamic time series clustering via volatility change-points," Papers, arXiv.org, number 1906.10372, Jun.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019, "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," Working Papers, Banco de España, number 1926, Jul.
- Lorenza Rossi & Emilio Zanetti Chini, 2019, "Temporal Disaggregation of Business Dynamics: New Evidence for U.S. Economy," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 188, Jun.
- James H. Stock & Mark W. Watson, 2019, "Slack and Cyclically Sensitive Inflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 25987, Jun.
- Francis X. Diebold & Glenn D. Rudebusch, 2019, "On the Evolution of U.S. Temperature Dynamics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 19-012, Jul.