Report NEP-ETS-2020-01-13

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were announced in this report:

• Aknouche, Abdelhakim & Francq, Christian, 2019. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper 97382, University Library of Munich, Germany.
• Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers 1912.06307, arXiv.org, revised Feb 2021.
• Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2019. "Robust Bayesian Inference in Proxy SVARs," CeMMAP working papers CWP38/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
• Holger Dette & Weichi Wu, 2020. "Prediction in locally stationary time series," Papers 2001.00419, arXiv.org, revised Jan 2020.
• Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print halshs-02418967, HAL.
• Zijian Zeng & Meng Li, 2020. "Bayesian Median Autoregression for Robust Time Series Forecasting," Papers 2001.01116, arXiv.org, revised Dec 2020.
• Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
• Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
• Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
• Jiahe Lin & George Michailidis, 2019. "Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models," Papers 1912.04146, arXiv.org, revised May 2020.