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Report NEP-ETS-2022-11-28
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:
- Alessandra Canepa, & Karanasos, Menelaos & Paraskevopoulos, Athanasios & Chini, Emilio Zanetti, 2022, "Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202212, Sep.
- Matteo Barigozzi, 2022, "Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification," Papers, arXiv.org, number 2211.01921, Nov, revised Feb 2026.
- Rub'en Loaiza-Maya & Didier Nibbering, 2022, "Efficient variational approximations for state space models," Papers, arXiv.org, number 2210.11010, Oct, revised Jun 2023.
- Daniel Borup & Philippe Goulet Coulombe & Erik Christian Montes Schütte & David E. Rapach & Sander Schwenk-Nebbe, 2022, "The Anatomy of Out-of-Sample Forecasting Accuracy," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2022-16, Nov, DOI: 10.29338/wp2022-16.
- Giovanni Ballarin & Petros Dellaportas & Lyudmila Grigoryeva & Marcel Hirt & Sophie van Huellen & Juan-Pablo Ortega, 2022, "Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data," Papers, arXiv.org, number 2211.00363, Nov, revised Jan 2024.
- Philipp Ketz, 2022, "Allowing for weak identification when testing GARCH-X type models," Papers, arXiv.org, number 2210.11398, Oct.
- Chaturvedi, Priya & Kumar, Kuldeep, 2022, "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper, University Library of Munich, Germany, number 115222, Aug.
- Mostafa Shabani & Martin Magris & George Tzagkarakis & Juho Kanniainen & Alexandros Iosifidis, 2022, "Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots," Papers, arXiv.org, number 2210.14605, Oct, revised Nov 2022.
- David Childers & Jesús Fernández-Villaverde & Jesse Perla & Christopher Rackauckas & Peifan Wu, 2022, "Differentiable State-Space Models and Hamiltonian Monte Carlo Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 30573, Oct.