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Report NEP-ETS-2020-01-13
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:
- Aknouche, Abdelhakim & Francq, Christian, 2019, "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper, University Library of Munich, Germany, number 97382, Dec.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019, "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers, arXiv.org, number 1912.06307, Dec, revised Feb 2021.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2019, "Robust Bayesian Inference in Proxy SVARs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP38/19, Jul.
- Fries, Sébastien, 2018, "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper, University Library of Munich, Germany, number 97353, May, revised Nov 2019.
- Holger Dette & Weichi Wu, 2020, "Prediction in locally stationary time series," Papers, arXiv.org, number 2001.00419, Jan, revised Jan 2020.
- Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019, "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print, HAL, number halshs-02418967, DOI: 10.1016/j.jmva.2019.02.015.
- Zijian Zeng & Meng Li, 2020, "Bayesian Median Autoregression for Robust Time Series Forecasting," Papers, arXiv.org, number 2001.01116, Jan, revised Dec 2020.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019, "Focused Bayesian Prediction," Papers, arXiv.org, number 1912.12571, Dec, revised Aug 2020.
- Jiahe Lin & George Michailidis, 2019, "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers, arXiv.org, number 1912.04123, Dec.
- Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019, "Bayesian estimation of large dimensional time varying VARs using copulas," Papers, arXiv.org, number 1912.12527, Dec.
- Jiahe Lin & George Michailidis, 2019, "Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models," Papers, arXiv.org, number 1912.04146, Dec, revised May 2020.