Report NEP-ETS-2018-11-05

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:

• Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2018. "Principal component analysis for second-order stationary vector time series," LSE Research Online Documents on Economics 84106, London School of Economics and Political Science, LSE Library.
• Elvin Isufi & Andreas Loukas & Nathanael Perraudin & Geert Leus, 2018. "Forecasting Time Series with VARMA Recursions on Graphs," Papers 1810.08581, arXiv.org, revised Jul 2019.
• Ollech, Daniel, 2018. "Seasonal adjustment of daily time series," Discussion Papers 41/2018, Deutsche Bundesbank.
• Christian Bayer & Benjamin Stemper, 2018. "Deep calibration of rough stochastic volatility models," Papers 1810.03399, arXiv.org.
• Avraam Tsantekidis & Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Using Deep Learning for price prediction by exploiting stationary limit order book features," Papers 1810.09965, arXiv.org.
• Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
• Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
• Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Factor-Driven Two-Regime Regression," Department of Economics Working Papers 2018-14, McMaster University.
• Hilde C. Bjørnland & Julia Zhulanova, 2018. "The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects," Working Papers No 8/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Den Haan, Wouter J. & Drechsel, Thomas, 2018. "Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models," LSE Research Online Documents on Economics 90384, London School of Economics and Political Science, LSE Library.
• Schreiber, Sven, 2018. "Weather-induced Short-term Fluctuations of Economic Output," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181622, Verein für Socialpolitik / German Economic Association.