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Report NEP-ETS-2020-11-23
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:
- Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020, "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers, arXiv.org, number 2011.04577, Nov, revised Apr 2023.
- Martin Bruns & Helmut Luetkepohl, 2020, "An Alternative Bootstrap for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2020-06, Nov.
- Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2020, "Instrumental Variable Identification of Dynamic Variance Decompositions," Papers, arXiv.org, number 2011.01380, Nov, revised Jul 2021.
- Tae-Hwy Lee & Ekaterina Seregina, 2020, "Learning from Forecast Errors: A New Approach to Forecast Combinations," Papers, arXiv.org, number 2011.02077, Nov, revised May 2021.
- Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020, "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers, arXiv.org, number 2011.00552, Nov, revised Mar 2023.
- David Kohns & Arnab Bhattacharjee, 2020, "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers, arXiv.org, number 2011.00938, Nov, revised May 2022.