Report NEP-ETS-2020-03-23

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:

• Oksana Bashchenko & Alexis Marchal, 2020. "Deep Learning, Jumps, and Volatility Bursts," Swiss Finance Institute Research Paper Series 20-10, Swiss Finance Institute.
• Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
• Andree,Bo Pieter Johannes & Spencer,Phoebe Girouard & Azari,Sardar & Chamorro,Andres & Wang,Dieter & Dogo,Harun, 2019. "Pollution and Expenditures in a Penalized Vector Spatial Autoregressive Time Series Model with Data-Driven Networks," Policy Research Working Paper Series 8757, The World Bank.
• Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
• Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
• Jarek Duda, 2020. "Adaptive exponential power distribution with moving estimator for nonstationary time series," Papers 2003.02149, arXiv.org, revised Mar 2020.
• Manav Kaushik & A K Giri, 2020. "Forecasting Foreign Exchange Rate: A Multivariate Comparative Analysis between Traditional Econometric, Contemporary Machine Learning & Deep Learning Techniques," Papers 2002.10247, arXiv.org.
• Savi Virolainen, 2020. "A mixture autoregressive model based on Gaussian and Student's $t$-distributions," Papers 2003.05221, arXiv.org, revised May 2020.
• Michael D. Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," NBER Working Papers 26826, National Bureau of Economic Research, Inc.
• Sven Otto & Jorg Breitung, 2020. "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers 2003.02682, arXiv.org, revised Mar 2022.
• Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
• Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.