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Report NEP-ETS-2021-03-01
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:
- Alain Hecq & Marie Ternes & Ines Wilms, 2021, "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers, arXiv.org, number 2102.11780, Feb, revised Mar 2022.
- Tobias Hartl, 2021, "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers, arXiv.org, number 2102.10067, Feb.
- Ding, Y., 2021, "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2112, Feb.
- Luke De Clerk & Sergey Savel'ev, 2021, "Non-stationary GARCH modelling for fitting higher order moments of financial series within moving time windows," Papers, arXiv.org, number 2102.11627, Feb, revised Mar 2021.
- Jiangtao Duan & Jushan Bai & Xu Han, 2021, "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers, arXiv.org, number 2102.12666, Feb, revised Mar 2021.
- Xiuqin Xu & Ying Chen, 2021, "Deep Stochastic Volatility Model," Papers, arXiv.org, number 2102.12658, Feb.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021, "Bridging factor and sparse models," Papers, arXiv.org, number 2102.11341, Feb, revised Sep 2022.
- Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022, "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science, WU Vienna University of Economics and Business, number 2021/01, May.
- Sergey Seleznev & Natalia Turdyeva & Ramis Khabibullin & Anna Tsvetkova, 2020, "Seasonal adjustment of the Bank of Russia Payment System financial flows data," Bank of Russia Working Paper Series, Bank of Russia, number wps65, Dec.
- Gregory Casey & Marc Klemp, 2021, "Historical Instruments and Contemporary Endogenous Regressors," Department of Economics Working Papers, Department of Economics, Williams College, number 2021-02, Jan, DOI: 10.36934/wecon:2021-02.
- Zhen Zeng & Tucker Balch & Manuela Veloso, 2021, "Deep Video Prediction for Time Series Forecasting," Papers, arXiv.org, number 2102.12061, Feb, revised Nov 2021.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021, "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers, Federal Reserve Bank of Cleveland, number 21-02R, Feb, revised 09 Aug 2021, DOI: 10.26509/frbc-wp-202102r.
- Jaqueson Galimberti, 2021, "Initial Beliefs Uncertainty and Information Weighting in the Estimation of Models with Adaptive Learning," Working Papers, Auckland University of Technology, Department of Economics, number 2021-01, Feb.
- Barend Abeln & Jan P.A.M. Jacobs, 2021, "COVID19 and Seasonal Adjustment," CIRANO Working Papers, CIRANO, number 2021s-05, Feb.