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Report NEP-ETS-2023-03-27
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:
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023, "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper, Tor Vergata University, CEIS, number 555, Feb, revised 27 Feb 2023.
- Alain Guay & Florian Pelgrin, 2021, "SVARs in the Frequency Domain using a Continuum of Restrictions," Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, number 21-07, Aug.
- Paul Beaudry & Fabrice Collard & Patrick Feve & Alain Guay & Franck Portier, 2022, "Dynamic Identification in VARs," Working Papers, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, number 22-08, Nov.
- Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2023, "Improved Tests for Stock Return Predictability," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 35133, Mar.
- Camilla Damian & Rudiger Frey, 2023, "Detecting Rough Volatility: A Filtering Approach," Papers, arXiv.org, number 2302.12612, Feb.
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023, "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers, arXiv.org, number 2302.07052, Feb.
- Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023, "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series, Central Bank of Brazil, Research Department, number 574, Feb.
- Chetan Dave & Marco Sorge, 2023, "Fat Tailed DSGE Models: A Survey and New Results," Working Papers, University of Alberta, Department of Economics, number 2023-03, Feb.
- James Cloyne & Òscar Jordà & Alan M. Taylor, 2023, "State-Dependent Local Projections: Understanding Impulse Response Heterogeneity," NBER Working Papers, National Bureau of Economic Research, Inc, number 30971, Feb.
- Maudud Hassan Uzzal & Robert Ślepaczuk, 2023, "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-05.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022, "Common Drivers of Commodity Futures?," Working Papers, Utrecht School of Economics, number 2207.