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Report NEP-ETS-2020-10-26
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:
- Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020, "Time-Varying Instrumental Variable Estimation," Working Papers, Queen Mary University of London, School of Economics and Finance, number 911, Aug.
- Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020, "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper, University Library of Munich, Germany, number 103250, Oct, revised 01 Oct 2020.
- Jesus Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2020, "Multivariate cointegration and temporal aggregation: some further simulation results," Discussion Paper Series, Department of Economics, University of Macedonia, number 2020_05, Oct, revised Oct 2020.
- Yeguang Chi & Wenyan Hao, 2020, "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers, arXiv.org, number 2010.07402, Oct.
- Yayi Yan & Jiti Gao & Bin peng, 2020, "A Class of Time-Varying Vector Moving Average (infinity) Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 39/20.
- Bernd Funovits, 2020, "Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models," Papers, arXiv.org, number 2010.02711, Oct.
- Haroon Mumtaz, 2020, "A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm," Working Papers, Queen Mary University of London, School of Economics and Finance, number 908, Jul.
- Cem Cakmakli & Hamza Demircan, 2020, "Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2016, Oct.
- Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020, "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers, arXiv.org, number 2009.10764, Sep.
- Baranowski, Rafal & Chen, Yining & Fryzlewicz, Piotr, 2020, "Ranking-based variable selection for high-dimensional data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90233, Jul.
- Eduardo Abi Jaber, 2020, "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers, arXiv.org, number 2009.10972, Sep, revised May 2022.