Report NEP-ETS-2019-12-16This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.
The following items were announced in this report:
- Schnaubelt, Matthias, 2019. "A comparison of machine learning model validation schemes for non-stationary time series data," FAU Discussion Papers in Economics 11/2019, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
- Giuseppe Cavaliere & Iliyan Georgiev, 2019. "Inference under random limit bootstrap measures," Papers 1911.12779, arXiv.org, revised Dec 2019.
- Schnücker, A.M., 2019. "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers EI-2019-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
- Stephan Smeekes & Etienne Wijler, 2019. "High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration," Papers 1911.10552, arXiv.org.
- Alain Hecq & Elisa Voisin, 2019. "Predicting bubble bursts in oil prices using mixed causal-noncausal models," Papers 1911.10916, arXiv.org.
- Fabio Franco, 2019. "Likelihood Induced by Moment Functions Using Particle Filter: a Comparison of Particle GMM and Standard MCMC Methods," CEIS Research Paper 477, Tor Vergata University, CEIS, revised 04 Dec 2019.
- Massimo Franchi & Paolo Paruolo, 2019. "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series 2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
- Alexander Jurisch, 2019. "Statistical mechanics and time-series analysis by L\'evy-parameters with the possibility of real-time application," Papers 1902.09425, arXiv.org.
- Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
- Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
- Peiwan Wang & Lu Zong & Ye Ma, 2019. "An Integrated Early Warning System for Stock Market Turbulence," Papers 1911.12596, arXiv.org.
- Dimos Kambouroudis & David McMillan & Katerina Tsakou, 2019. "Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility," Working Papers 2019-03, Swansea University, School of Management.