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Report NEP-ETS-2023-07-31
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 & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023, "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers, arXiv.org, number 2306.14653, Jun, revised Jan 2024.
- Yuxia Liu & Qi Zhang & Wei Xiao & Tianguang Chu, 2023, "Successive one-sided Hodrick-Prescott filter with incremental filtering algorithm for nonlinear economic time series," Papers, arXiv.org, number 2306.12439, Jun.
- Andrea Renzetti, 2023, "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers, arXiv.org, number 2306.09287, Jun, revised Nov 2023.
- Jonathan J Adams & Philip Barrett, 2023, "Identifying News Shocks from Forecasts," Working Papers, University of Florida, Department of Economics, number 001010, Jun.
- Eugene W. Park, 2023, "Principal Component Analysis and Hidden Markov Model for Forecasting Stock Returns," Papers, arXiv.org, number 2307.00459, Jul.
- Wenbo Ge & Pooia Lalbakhsh & Leigh Isai & Artem Lensky & Hanna Suominen, 2023, "Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data," Papers, arXiv.org, number 2306.12446, Jun, revised Jun 2023.
- Deepankar Basu, 2023, "The Yule-Frisch-Waugh-Lovell Theorem," Papers, arXiv.org, number 2307.00369, Jul.