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Report NEP-ETS-2021-08-30
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:
- Seisho Sato & Naoto Kunimoto, 2021, "Frequency Regression and Smoothing for Noisy Nonstationary Time Series," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-519, Aug.
- Atoi, Ngozi Victor & Nwambeke, Chinedu G., 2021, "Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach," MPRA Paper, University Library of Munich, Germany, number 109305, Aug.
- Zhihao Xu & Clifford M. Hurvich, 2021, "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers, arXiv.org, number 2108.06093, Aug, revised Jun 2023.
- Heidar Eyjolfsson & Dag Tj{o}stheim, 2021, "Multivariate self-exciting jump processes with applications to financial data," Papers, arXiv.org, number 2108.10176, Aug.
- Varsha S. Kulkarni, 2021, "A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process," Papers, arXiv.org, number 2108.09083, Aug.
- George Athanasopoulos & Nikolaos Kourentzes, 2021, "On the Evaluation of Hierarchical Forecasts," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/21.