Printed from https://ideas.repec.org/n/nep-ets/2020-07-20.html
Report NEP-ETS-2020-07-20
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:
- Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020, "Periodic autoregressive conditional duration," MPRA Paper, University Library of Munich, Germany, number 101696, Jul, revised 08 Jul 2020.
- Heinrich, Markus, 2020, "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 219312.
- Niko Hauzenberger, 2020, "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers, arXiv.org, number 2006.10088, Jun, revised Nov 2020.
- Hugh Christensen & Simon Godsill & Richard E Turner, 2020, "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers, arXiv.org, number 2006.08307, Jun.
- Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020, "Forecasting transaction counts with integer-valued GARCH models," MPRA Paper, University Library of Munich, Germany, number 101779, Jul, revised 11 Jul 2020.
- Helmut Lütkepohl & Thore Schlaak, 2020, "Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1876.
- William D. Larson & Tara M. Sinclair, 2020, "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers, The George Washington University, The Center for Economic Research, number 2020-004, Jun, revised Aug 2020.
- Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020, "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14415, Feb.
- Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020, "Biases in Long-Horizon Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 27410, Jun.
- Anna Bykhovskaya & Vadim Gorin, 2020, "Cointegration in large VARs," Papers, arXiv.org, number 2006.14179, Jun, revised Dec 2021.
- Martin Bladt & Alexander J. McNeil, 2020, "Time series copula models using d-vines and v-transforms," Papers, arXiv.org, number 2006.11088, Jun, revised Jul 2021.
- Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020, "Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination," Working Papers, University of California at Riverside, Department of Economics, number 202012, Jun.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020, "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Papers, arXiv.org, number 2006.10555, Jun, revised Jul 2020.
- Chakrabarti, Arnab & Chakrabarti, Anindya S., 2020, "Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks," IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department, number WP 2020-07-01, Jul.
- Item repec:vuw:vuwecf:8956 is not listed on IDEAS anymore
- Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020, "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202008, Apr.