Report NEP-ETS-2022-08-15

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:

• Dimitris Korobilis, 2022. "A new algorithm for structural restrictions in Bayesian vector autoregressions," Papers 2206.06892, arXiv.org.
• Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Chiranjit Dutta & Nalini Ravishanker & Sumanta Basu, 2022. "Modeling Multivariate Positive-Valued Time Series Using R-INLA," Papers 2206.05374, arXiv.org, revised Jul 2022.
• Christian Bongiorno & Damien Challet, 2022. "Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy," Papers 2206.10173, arXiv.org.
• Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022. "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics 114620, London School of Economics and Political Science, LSE Library.
• Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.