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Report NEP-ETS-2021-04-12
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:
- Emanuele Bacchiocchi & Toru Kitagawa, 2021, "On global identification in structural vector autoregressions," Papers, arXiv.org, number 2102.04048, Feb, revised Mar 2026.
- Fengler, Matthias & Polivka, Jeannine, 2021, "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2103, Apr, revised Oct 2024.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2019, "Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations," Papers, arXiv.org, number 1912.09002, Dec, revised Jun 2021.
- Jonas E. Arias & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Minchul Shin, 2021, "Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs," Working Papers, FEDEA, number 2021-09, Mar.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021, "Bootstrap Inference for Hawkes and General Point Processes," Papers, arXiv.org, number 2104.03122, Apr, revised Sep 2021.
- Woraphon Yamaka & Rangan Gupta & Sukrit Thongkairat & Paravee Maneejuk, 2021, "Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model," Working Papers, University of Pretoria, Department of Economics, number 202108, Jan.
- Pratyush Muthukumar & Jie Zhong, 2021, "A Stochastic Time Series Model for Predicting Financial Trends using NLP," Papers, arXiv.org, number 2102.01290, Feb.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2021, "The Science and Art of Communicating Fan Chart Uncertainty: The case of Inflation Outcome in Sierra Leone," MPRA Paper, University Library of Munich, Germany, number 105892, Jan, revised 05 Jan 2021.
- Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020, "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers, Örebro University, School of Business, number 2021:1, Oct.
- Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021, "A reality check on the GARCH-MIDAS volatility models," Working Papers, Örebro University, School of Business, number 2021:2, Mar.
- Filippo Neri, 2021, "Domain Specific Concept Drift Detectors for Predicting Financial Time Series," Papers, arXiv.org, number 2103.14079, Mar, revised Sep 2021.