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Report NEP-ETS-2021-07-19
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:
- Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021, "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-056/III, Jun.
- Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021, "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-057/III, Jun.
- Fabrizio Cipollini & Giampiero M. Gallo, 2021, "Multiplicative Error Models: 20 years on," Papers, arXiv.org, number 2107.05923, Jul.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), , "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 312367, DOI: 10.22004/ag.econ.312367.
- Christian Gourieroux & Joann Jasiak, 2021, "Generalized Covariance Estimator," Papers, arXiv.org, number 2107.06979, Jul.
- Emanuele Bacchiocchi & Toru Kitagawa, 2021, "A note on global identi?cation in structural vector autoregressions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP03/21, Feb.
- Emanuele Bacchiocchi & Toru Kitagawa, 2020, "Locally- but not globally-identified SVARs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP40/20, Jul.
- Bodha Hannadige, Sium & Gao, Jiti & Silvapulle, Mervyn & Silvapulle, Param, 2021, "Time Series Forecasting using a Mixture of Stationary and Nonstationary Predictors," MPRA Paper, University Library of Munich, Germany, number 108669, Jan, revised 30 Apr 2021.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020, "Determining the rank of cointegration with infinite variance," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 20/01, Jan.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2020, "Uncertain Identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP33/20, Jul.
- Richard Davis & Serena Ng, 2021, "Time Series Estimation of the Dynamic Effects of Disaster-Type Shock," Papers, arXiv.org, number 2107.06663, Jul, revised Mar 2022.
- Gilles Zumbach, 2021, "On the short term stability of financial ARCH price processes," Papers, arXiv.org, number 2107.06758, Jul.
- Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020, "Inference after Estimation of Breaks," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP34/20, Jul.
- Antoine Ferré & Guillaume de Certaines & Jérôme Cazelles & Tancrède Cohet & Arash Farnoosh & Frédéric Lantz, 2021, "Short-term electricity price forecastingmodels comparative analysis : Machine Learning vs. Econometrics," Working Papers, HAL, number hal-03262208, May.