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Report NEP-ETS-2020-02-24
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:
- Benjamin Poignard & Manabu Asaiz, 2020, "A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 20-02, Jan.
- Zongwu Cai & Seong Yeon Chang, 2018, "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201811, Dec, revised Dec 2018.
- Morten Ørregaard Nielsen & Antoine L. Noël, 2020, "To infinity and beyond: Efficient computation of ARCH(\infty) models," Working Paper, Economics Department, Queen's University, number 1425, Nov.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020, "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series, European Central Bank, number 2369, Feb.
- Krüger, Jens & Ruths Sion, Sebastian, 2019, "Improving Oil Price Forecasts by Sparse VAR Methods," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 118208, Dec.
- Matteo Pelagatti & Giacomo Sbrana, 2020, "Estimating high dimensional multivariate stochastic volatility models," Working Papers, University of Milano-Bicocca, Department of Economics, number 428, Jan, revised Jan 2020.
- Lindeløv, Jonas Kristoffer, 2020, "mcp: An R Package for Regression With Multiple Change Points," OSF Preprints, Center for Open Science, number fzqxv, Jan, DOI: 10.31219/osf.io/fzqxv.
- André Lucas & Julia Schaumburg & Bernd Schwaab, 2020, "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-009/III, Feb.
- Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020, "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202002, Feb, revised Feb 2020.
- Item repec:imf:imfwpa:20/6 is not listed on IDEAS anymore
- Dieppe,Alistair Matthew & Neville,Francis & Kindberg Hanlon,Gene Joseph, 2019, "New Approaches to the Identification of Low-Frequency Drivers : An Application to Technology Shocks," Policy Research Working Paper Series, The World Bank, number 9047, Oct.