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Report NEP-ETS-2022-09-05
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:
- Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022, "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers, arXiv.org, number 2207.12147, Jul.
- Niccol`o Ajroldi & Jacopo Diquigiovanni & Matteo Fontana & Simone Vantini, 2022, "Conformal Prediction Bands for Two-Dimensional Functional Time Series," Papers, arXiv.org, number 2207.13656, Jul, revised Jul 2023.
- Rodrigo Alfaro & Mathias Drehmann, 2022, "The Holt-Winters filter and the one-sided HP filter: A close correspondence," BIS Working Papers, Bank for International Settlements, number 1033, Jul.
- Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022, "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers, arXiv.org, number 2208.00952, Aug, revised May 2023.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022, "Detecting common bubbles in multivariate mixed causal-noncausal models," Papers, arXiv.org, number 2207.11557, Jul.
- Stefanos Bennett & Jase Clarkson, 2022, "Time Series Prediction under Distribution Shift using Differentiable Forgetting," Papers, arXiv.org, number 2207.11486, Jul.
- Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios, 2022, "High Dimensional Generalised Penalised Least Squares," Papers, arXiv.org, number 2207.07055, Jul, revised Oct 2023.
- Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2022, "Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time," Papers, arXiv.org, number 2208.01445, Aug.