Report NEP-ECM-2021-06-28

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
• Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
• Cristian Roner & Claudia Di Caterina & Davide Ferrari, 2021. "Exponential Tilting for Zero-inflated Interval Regression with Applications to Cyber Security Survey Data," BEMPS - Bozen Economics & Management Paper Series BEMPS85, Faculty of Economics and Management at the Free University of Bozen.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Papers 2106.12262, arXiv.org, revised Feb 2022.
• Anand Deo & Karthyek Murthy, 2021. "Efficient Black-Box Importance Sampling for VaR and CVaR Estimation," Papers 2106.10236, arXiv.org.
• Claudia Noack, 2021. "Sensitivity of LATE Estimates to Violations of the Monotonicity Assumption," Papers 2106.06421, arXiv.org.
• Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
• Andersson, Angelica & Engelson, Leonid & Börjesson, Maria & Daly, Andrew & Kristoffersson, Ida, 2021. "Long-distance mode choice model estimation using mobile phone network data," Papers 2021:1, Research Programme in Transport Economics.
• Anders Bredahl Kock & David Preinerstorfer, 2021. "Superconsistency of Tests in High Dimensions," Papers 2106.03700, arXiv.org, revised Jan 2022.
• Toru Kitagawa & Shosei Sakaguchi & Aleksey Tetenov, 2021. "Constrained Classification and Policy Learning," Papers 2106.12886, arXiv.org, revised Jul 2023.
• Falk, Carl F. & Muthukrishna, Michael, 2021. "Parsimony in model selection: tools for assessing fit propensity," LSE Research Online Documents on Economics 110856, London School of Economics and Political Science, LSE Library.
• Abdulnasser Hatemi-J, 2021. "Dynamic Asymmetric Causality Tests with an Application," Papers 2106.07612, arXiv.org, revised Jun 2021.
• Zengjing Chen & Larry G. Epstein & Guodong Zhang, 2021. "A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits," Papers 2106.05472, arXiv.org, revised May 2022.
• Florian Eckerli & Joerg Osterrieder, 2021. "Generative Adversarial Networks in finance: an overview," Papers 2106.06364, arXiv.org, revised Jul 2021.