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Report NEP-ETS-2021-09-13
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:
- Shuping Shi & Jun Yu, 2021, "Different Strokes for Different Folks: Long Memory and Roughness," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2021, Aug.
- Kindop, Igor, 2021, "Ubiquitous multimodality in mixed causal-noncausal processes," MPRA Paper, University Library of Munich, Germany, number 109594, Jul, revised 04 Sep 2021.
- Rob Luginbuhl, 2020, "Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 409, Feb.
- Fabio Canova & Filippo Ferroni, 2021, "A Hitchhiker’s Guide to Empirical Macro Models," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2021-15, Sep, revised 03 Oct 2021, DOI: 10.21033/wp-2021-15.
- Lucien Boulet, 2021, "Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs," Papers, arXiv.org, number 2109.01044, Aug.
- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021, "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2021-20, Aug.
- Helton Saulo & Narayanaswamy Balakrishnan & Roberto Vila, 2021, "On a quantile autoregressive conditional duration model applied to high-frequency financial data," Papers, arXiv.org, number 2109.03844, Sep.
- C Castro-Iragorri & J RamÔøΩrez, 2021, "Forecasting Dynamic Term Structure Models with Autoencoders," Documentos de Trabajo, Universidad del Rosario, number 19431, Jul.
- Jushan Bai & Serena Ng, 2021, "Approximate Factor Models with Weaker Loadings," Papers, arXiv.org, number 2109.03773, Sep, revised Mar 2023.
- Hwee Kwan Chow & Daniel Han, 2021, "Forecast Pooling or Information Pooling During Crises? MIDAS Forecasting of GDP in a Small Open Economy," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 6-2021, Jul.
- Paul Bilokon & David Finkelstein, 2021, "Iterated and exponentially weighted moving principal component analysis," Papers, arXiv.org, number 2108.13072, Aug.