Report NEP-ETS-2020-12-21

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Atsushi Inoue & Lutz Kilian, 2020, "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers, Federal Reserve Bank of Dallas, number 2030, Dec, DOI: 10.24149/wp2030.
• Hess T. Chung & Cristina Fuentes-Albero & Matthias Paustian & Damjan Pfajfar, 2020, "Latent Variables Analysis in Structural Models: A New Decomposition of the Kalman Smoother," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-100, Dec, DOI: 10.17016/FEDS.2020.100.
• Shige Peng & Shuzhen Yang, 2020, "Distributional uncertainty of the financial time series measured by G-expectation," Papers, arXiv.org, number 2011.09226, Nov, revised Jul 2021.
• Vincent Tan & Stefan Zohren, 2020, "Estimation of Large Financial Covariances: A Cross-Validation Approach," Papers, arXiv.org, number 2012.05757, Dec, revised Jan 2023.
• Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020, "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-03018495, Nov.
• Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020, "A Multivariate Realized GARCH Model," Papers, arXiv.org, number 2012.02708, Dec, revised Feb 2025.