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. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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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 2002.04346, arXiv.org, revised Feb 2021.
• James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
• Robert J. Hodrick, 2020. "An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data," NBER Working Papers 26750, National Bureau of Economic Research, Inc.
• Niko Hauzenberger & Florian Huber & Luca Onorante, 2020. "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers 2002.08760, arXiv.org, 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 2002.08021, arXiv.org, revised Mar 2020.
• Wenjing Wang & Minjing Tao, 2020. "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers 2002.08849, arXiv.org.
• Burkhart, Michael C., 2019. "A Discriminative Approach to Bayesian Filtering with Applications to Human Neural Decoding," Thesis Commons 4j3fu, Center for Open Science.
• Daniel Buncic, 2020. "Econometric issues with Laubach and Williams' estimates of the natural rate of interest," Papers 2002.11583, arXiv.org, revised Aug 2020.
• Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020. "Generalized Poisson Difference Autoregressive Processes," Papers 2002.04470, arXiv.org.
• Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
• Oscar Espinosa & Fabio Nieto, 2020. "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers 2002.05319, arXiv.org, revised Feb 2020.
• Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391.rdf, CPB Netherlands Bureau for Economic Policy Analysis.