Report NEP-ETS-2020-03-09

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:

• Bernd Funovits, 2020, "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers, arXiv.org, number 2002.04346, Feb, revised Feb 2021.
• James A. Duffy & Jerome R. Simons, 2020, "Cointegration without Unit Roots," Papers, arXiv.org, number 2002.08092, Feb, revised Apr 2023.
• Robert J. Hodrick, 2020, "An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26750, Feb.
• Niko Hauzenberger & Florian Huber & Luca Onorante, 2020, "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers, arXiv.org, number 2002.08760, Feb, revised Aug 2020.
• Shaolong Suna & Dan Bi & Ju-e Guo & Shouyang Wang, 2020, "Seasonal and Trend Forecasting of Tourist Arrivals: An Adaptive Multiscale Ensemble Learning Approach," Papers, arXiv.org, number 2002.08021, Feb, revised Mar 2020.
• Wenjing Wang & Minjing Tao, 2020, "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers, arXiv.org, number 2002.08849, Feb.
• Burkhart, Michael C., 2019, "A Discriminative Approach to Bayesian Filtering with Applications to Human Neural Decoding," Thesis Commons, Center for Open Science, number 4j3fu, May, DOI: 10.31219/osf.io/4j3fu.
• Daniel Buncic, 2020, "Econometric issues with Laubach and Williams' estimates of the natural rate of interest," Papers, arXiv.org, number 2002.11583, Feb, revised Aug 2020.
• Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020, "Generalized Poisson Difference Autoregressive Processes," Papers, arXiv.org, number 2002.04470, Feb.
• Yong Song & Tomasz Wo'zniak, 2020, "Markov Switching," Papers, arXiv.org, number 2002.03598, Feb.
• Oscar Espinosa & Fabio Nieto, 2020, "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers, arXiv.org, number 2002.05319, Feb, revised Feb 2020.
• Item repec:cpb:discus:391.rdf is not listed on IDEAS anymore

Report NEP-ETS-2020-03-09

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: