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Report NEP-ETS-2020-09-21
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:
- Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020, "A Robust Score-Driven Filter for Multivariate Time Series," Papers, arXiv.org, number 2009.01517, Sep, revised Aug 2022.
- Carlo Campajola & Fabrizio Lillo & Piero Mazzarisi & Daniele Tantari, 2020, "On the equivalence between the Kinetic Ising Model and discrete autoregressive processes," Papers, arXiv.org, number 2008.10666, Aug, revised Feb 2021.
- Yicong Lin & Hanno Reuvers, 2020, "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers, arXiv.org, number 2009.02262, Sep, revised Dec 2021.
- Gianluca Cubadda & Alain Hecq, 2020, "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers, arXiv.org, number 2009.03361, Sep, revised Feb 2022.
- Cassim, Lucius, 2020, "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper, University Library of Munich, Germany, number 101453, Jul.
- Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020, "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers, arXiv.org, number 2009.06910, Sep.
- Asim Kumer Dey & Toufiqul Haq & Kumer Das & Irina Panovska, 2020, "Quantifying the impact of COVID-19 on the US stock market: An analysis from multi-source information," Papers, arXiv.org, number 2008.10885, Aug, revised Oct 2020.