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Report NEP-ETS-2020-03-23
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:
- Oksana Bashchenko & Alexis Marchal, 2020, "Deep Learning, Jumps, and Volatility Bursts," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-10, Mar.
- Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020, "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers, arXiv.org, number 2002.09968, Feb, revised Nov 2021.
- Andree,Bo Pieter Johannes & Spencer,Phoebe Girouard & Azari,Sardar & Chamorro,Andres & Wang,Dieter & Dogo,Harun, 2019, "Pollution and Expenditures in a Penalized Vector Spatial Autoregressive Time Series Model with Data-Driven Networks," Policy Research Working Paper Series, The World Bank, number 8757, Feb.
- Firmin Doko Tchatoka & Qazi Haque, 2020, "On bootstrapping tests of equal forecast accuracy for nested models," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2020-03, Feb.
- Michael W. McCracken & Serena Ng, 2020, "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers, Federal Reserve Bank of St. Louis, number 2020-005, Mar, DOI: 10.20955/wp.2020.005.
- Jarek Duda, 2020, "Adaptive exponential power distribution with moving estimator for nonstationary time series," Papers, arXiv.org, number 2003.02149, Mar, revised Mar 2020.
- Manav Kaushik & A K Giri, 2020, "Forecasting Foreign Exchange Rate: A Multivariate Comparative Analysis between Traditional Econometric, Contemporary Machine Learning & Deep Learning Techniques," Papers, arXiv.org, number 2002.10247, Feb.
- Savi Virolainen, 2020, "A mixture autoregressive model based on Gaussian and Student's $t$-distributions," Papers, arXiv.org, number 2003.05221, Mar, revised May 2020.
- Michael D. Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020, "Online Estimation of DSGE Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 26826, Mar.
- Sven Otto & Jorg Breitung, 2020, "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers, arXiv.org, number 2003.02682, Mar, revised Mar 2022.
- Yoshimasa Uematsu & Takashi Yamagata, 2019, "Estimation of Weak Factor Models," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1053r, Apr, revised Mar 2020.
- Florian Huber & Gary Koop & Michael Pfarrhofer, 2020, "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers, arXiv.org, number 2002.10274, Feb.