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Report NEP-ETS-2021-06-28
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:
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022, "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 30620, Jul.
- Dong Hwan Oh & Andrew J. Patton, 2021, "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-029r1, Apr, revised 06 May 2022, DOI: 10.17016/FEDS.2021.029r1.
- Alessandro Barbarino & Travis J. Berge & Han Chen & Andrea Stella, 2020, "Which Output Gap Estimates Are Stable in Real Time and Why?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-102, Dec, DOI: 10.17016/FEDS.2020.102.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021, "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Papers, arXiv.org, number 2106.12262, Jun, revised Feb 2022.
- Abdulnasser Hatemi-J, 2021, "Dynamic Asymmetric Causality Tests with an Application," Papers, arXiv.org, number 2106.07612, Jun, revised Jun 2021.
- Nick James & Max Menzies, 2021, "A new measure between sets of probability distributions with applications to erratic financial behavior," Papers, arXiv.org, number 2106.07377, Jun, revised Dec 2021.