Printed from https://ideas.repec.org/n/nep-ets/2021-05-03.html
Report NEP-ETS-2021-05-03
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:
- Javier Hualde & Morten Ørregaard Nielsen, 2022, "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper, Economics Department, Queen's University, number 1458, Jan.
- BENSALMA, Ahmed, 2021, "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper, University Library of Munich, Germany, number 107408, Apr.
- Lajos Horvath & Lorenzo Trapani, 2021, "Changepoint detection in random coefficient autoregressive models," Papers, arXiv.org, number 2104.13440, Apr.
- Pincheira, Pablo & Hardy, Nicolas, 2021, "The Mean Squared Prediction Error Paradox," MPRA Paper, University Library of Munich, Germany, number 107403, Apr.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021, "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1348.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021, "Loss-Based Variational Bayes Prediction," Papers, arXiv.org, number 2104.14054, Apr, revised May 2022.
- Ramis Khbaibullin & Sergei Seleznev, 2020, "Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models," Bank of Russia Working Paper Series, Bank of Russia, number wps61, Oct.
- Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021, "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202110, Mar.
- Erniel B. Barrios & Paolo Victor T. Redondo, 2021, "Nonparametric Test for Volatility in Clustered Multiple Time Series," Papers, arXiv.org, number 2104.14412, Apr, revised May 2024.
- Christina Anderl & Guglielmo Maria Caporale, 2021, "Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations," CESifo Working Paper Series, CESifo, number 9027.