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Report NEP-ETS-2020-11-16
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:
- Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020, "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-676, Nov.
- T. -N. Nguyen & M. -N. Tran & R. Kohn, 2020, "Recurrent Conditional Heteroskedasticity," Papers, arXiv.org, number 2010.13061, Oct, revised Jan 2022.
- Perone, G., 2020, "Comparison of ARIMA, ETS, NNAR and hybrid models to forecast the second wave of COVID-19 hospitalizations in Italy," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 20/18, Nov.
- Alexander Wehrli & Didier Sornette, 2020, "Classification of flash crashes using the Hawkes(p,q) framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-92, Nov.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020, "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers, Örebro University, School of Business, number 2020:13, Oct.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 31339, Nov.
- Tae-Hwy Lee & Ekaterina Seregina, 2020, "Learning from Forecast Errors: A New Approach to Forecast Combination," Working Papers, University of California at Riverside, Department of Economics, number 202024, Sep.
- Elizabeth Fons & Paula Dawson & Xiao-jun Zeng & John Keane & Alexandros Iosifidis, 2020, "Evaluating data augmentation for financial time series classification," Papers, arXiv.org, number 2010.15111, Oct.
- Kleyton da Costa & Felipe Leite Coelho da Silva & Josiane da Silva Cordeiro Coelho & Andr'e de Melo Modenesi, 2020, "A Systematic Comparison of Forecasting for Gross Domestic Product in an Emergent Economy," Papers, arXiv.org, number 2010.13259, Oct, revised Mar 2022.