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Report NEP-ETS-2019-12-16
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:
- Schnaubelt, Matthias, 2019, "A comparison of machine learning model validation schemes for non-stationary time series data," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 11/2019.
- Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019, "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2211, Dec.
- Giuseppe Cavaliere & Iliyan Georgiev, 2019, "Inference under random limit bootstrap measures," Papers, arXiv.org, number 1911.12779, Nov, revised Dec 2019.
- Schnücker, A.M., 2019, "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI-2019-33, Nov.
- 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, arXiv.org, number 1912.03100, Dec.
- Stephan Smeekes & Etienne Wijler, 2019, "High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration," Papers, arXiv.org, number 1911.10552, Nov.
- Alain Hecq & Elisa Voisin, 2019, "Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models," Papers, arXiv.org, number 1911.10916, Nov, revised May 2022.
- Fabio Franco, 2019, "Likelihood Induced by Moment Functions Using Particle Filter: a Comparison of Particle GMM and Standard MCMC Methods," CEIS Research Paper, Tor Vergata University, CEIS, number 477, Dec, revised 04 Dec 2019.
- Massimo Franchi & Paolo Paruolo, 2019, "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2019/2, Dec.
- 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, European Central Bank, number 2335, Dec.
- Alexander Jurisch, 2019, "Statistical mechanics and time-series analysis by L\'evy-parameters with the possibility of real-time application," Papers, arXiv.org, number 1902.09425, Feb.
- Ulrich Horst & Wei Xu, 2019, "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers, arXiv.org, number 1911.12969, Nov.
- Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019, "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-23, Dec.
- Peiwan Wang & Lu Zong & Ye Ma, 2019, "An Integrated Early Warning System for Stock Market Turbulence," Papers, arXiv.org, number 1911.12596, Nov.
- 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, Swansea University, School of Management, number 2019-03, Dec.