Report NEP-ETS-2020-06-29

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:

• Fabrizio Iacone & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2020, "Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks," Working Paper, Economics Department, Queen's University, number 1431, Nov.
• Poncela, Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020, "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 30644, Jun.
• Bao-Gen Li & Dian-Yi Ling & Zu-Guo Yu, 2020, "Multifractal temporally weighted detrended partial cross-correlation analysis to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors," Papers, arXiv.org, number 2006.09154, May.
• Nicklas Werge & Olivier Wintenberger, 2020, "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers, arXiv.org, number 2006.02077, Jun, revised Jan 2021.
• Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020, "Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis," CIRANO Working Papers, CIRANO, number 2020s-32, Jun.
• Li, S. & Linton, O., 2020, "When will the Covid-19 pandemic peak?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2025, Apr.
• Jie Fang & Jianwu Lin, 2020, "Prior knowledge distillation based on financial time series," Papers, arXiv.org, number 2006.09247, Jun, revised Nov 2020.
• Juan Carlos Escanciano, 2020, "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers, arXiv.org, number 2005.09951, May.

Report NEP-ETS-2020-06-29

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: