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Report NEP-ETS-2023-05-08
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:
- Mike G. Tsionas, 2022, "Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models," Working Papers, Bank of Greece, number 294, Feb, DOI: 10.52903/wp2021294.
- Nikolas Michael & Mihai Cucuringu & Sam Howison, 2023, "OFTER: An Online Pipeline for Time Series Forecasting," Papers, arXiv.org, number 2304.03877, Apr.
- Rafael Alves & Diego S. de Brito & Marcelo C. Medeiros & Ruy M. Ribeiro, 2023, "Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage," Papers, arXiv.org, number 2303.16151, Mar.
- Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2023, "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Working Papers, Red Nacional de Investigadores en Economía (RedNIE), number 234, Apr.
- Daan Opschoor & Dick van Dijk, 2023, "Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-018/III, Apr.
- Item repec:tin:wpaper:20230016 is not listed on IDEAS anymore
- William H. Press, 2023, "Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data," Papers, arXiv.org, number 2303.16153, Mar.
- Javier G. Gómez-Pineda & Julián Roa-Rozo, 2023, "A trend-cycle decomposition with hysteresis," Borradores de Economia, Banco de la Republica de Colombia, number 1230, Apr, DOI: 10.32468/be.1230.
- Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda, 2023, "Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix," Papers, arXiv.org, number 2304.04372, Apr.