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Report NEP-ETS-2021-08-16
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:
- Han Lin Shang & Fearghal Kearney, 2021, "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," Papers, arXiv.org, number 2107.14026, Jul.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021, "Inference in heavy-tailed non-stationary multivariate time series," Papers, arXiv.org, number 2107.13894, Jul.
- Li Li & Yanfei Kang & Feng Li, 2021, "Bayesian forecast combination using time-varying features," Papers, arXiv.org, number 2108.02082, Aug, revised Jun 2022.
- Luke Mosley & Idris Eckley & Alex Gibberd, 2021, "Sparse Temporal Disaggregation," Papers, arXiv.org, number 2108.05783, Aug, revised Oct 2022.
- Hidalgo, Javier, 2021, "Bootstrap long memory processes in the frequency domain," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 106149, Jun.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021, "A dynamic leverage stochastic volatility model," Working Papers, Örebro University, School of Business, number 2021:14, May.
- Peilun He & Karol Binkowski & Nino Kordzakhia & Pavel Shevchenko, 2021, "On Modelling of Crude Oil Futures in a Bivariate State-Space Framework," Papers, arXiv.org, number 2108.01886, Aug.
- Karol Binkowski & Peilun He & Nino Kordzakhia & Pavel Shevchenko, 2021, "On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model," Papers, arXiv.org, number 2108.01881, Aug.