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Report NEP-ETS-2021-10-25
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:
- Susana Campos-Martins & Cristina Amado, 2021, "Modelling Time-Varying Volatility Interactions," NIPE Working Papers, NIPE - Universidade do Minho, number 12/2021.
- Lujia Bai & Weichi Wu, 2021, "Detecting long-range dependence for time-varying linear models," Papers, arXiv.org, number 2110.08089, Oct, revised Mar 2023.
- Jiti Gao & Bin Peng & Yayi Yan, 2021, "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/21.
- Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021, "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/21.
- Caporina, Massimiliano & Costola, Michele, 2021, "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 324, DOI: 10.2139/ssrn.3941778.
- Curtis Nybo, 2021, "Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks," Papers, arXiv.org, number 2110.09489, Oct.
- Eiji Kurozumi & Anton Skrobotov, 2021, "On the asymptotic behavior of bubble date estimators," Papers, arXiv.org, number 2110.04500, Oct, revised Sep 2022.
- Parley Ruogu Yang & Ryan Lucas, 2021, "DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation," Papers, arXiv.org, number 2110.11156, Oct, revised Jul 2022.
- Jean-Pierre Florens & Anna Simoni, 2021, "Revisiting identification concepts in Bayesian analysis," Papers, arXiv.org, number 2110.09954, Oct.
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021, "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers, arXiv.org, number 2110.08320, Oct, revised Oct 2021.