Printed from https://ideas.repec.org/n/nep-ets/2022-08-15.html
Report NEP-ETS-2022-08-15
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:
- Dimitris Korobilis, 2022, "A new algorithm for structural restrictions in Bayesian vector autoregressions," Papers, arXiv.org, number 2206.06892, Jun.
- Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022, "On the impact of serial dependence on penalized regression methods," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2022/21, Jul.
- Chiranjit Dutta & Nalini Ravishanker & Sumanta Basu, 2022, "Modeling Multivariate Positive-Valued Time Series Using R-INLA," Papers, arXiv.org, number 2206.05374, Jun, revised Jul 2022.
- Christian Bongiorno & Damien Challet, 2022, "Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy," Papers, arXiv.org, number 2206.10173, Jun.
- Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022, "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 114620, Jun.
- Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022, "Estimating value at risk: LSTM vs. GARCH," Papers, arXiv.org, number 2207.10539, Jul.