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Report NEP-ETS-2022-07-18
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:
- Yunus Emre Ergemen, 2022, "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-10, Jun.
- Chronopoulos, Ilias & Giraitis, Liudas & Kapetanios, George, 2022, "Choosing between persistent and stationary volatility," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 33045, Jun.
- Christian Gourieroux & Joann Jasiak, 2022, "Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models," Papers, arXiv.org, number 2205.09922, May, revised Jul 2025.
- Luis Gruber & Gregor Kastner, 2022, "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers, arXiv.org, number 2206.04902, Jun, revised Feb 2025.
- Yuefeng Han & Rong Chen & Dan Yang & Cun-Hui Zhang, 2020, "Tensor Factor Model Estimation by Iterative Projection," Papers, arXiv.org, number 2006.02611, Jun, revised Jul 2024.
- Paulo M.M. Rodrigues & Robert Hill, 2022, "Forgetting Approaches to Improve Forecasting," Working Papers, Banco de Portugal, Economics and Research Department, number w202208.
- Linton, O. B. & Tang, H. & Wu, J., 2022, "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2237, Jun.