Report NEP-ETS-2021-06-14

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:

• Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
• Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
• Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
• Griffin, Jim E. & Mitrodima, Gelly, 2020. "A Bayesian quantile time series model for asset returns," LSE Research Online Documents on Economics 105610, London School of Economics and Political Science, LSE Library.
• Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
• Michał Woźniak & Marcin Chlebus, 2021. "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers 2021-10, Faculty of Economic Sciences, University of Warsaw.
• Martin Garcia-Vazquez, 2021. "Identification and Estimation of Non-stationary Hidden Markov Models," Working Papers 2021-023, Human Capital and Economic Opportunity Working Group.
• Kohtaro Hitomi & Keiji Nagai & Yoshihiko Nishiyama & Junfan Tao, 2021. "Joint Asymptotic Properties of Stopping Times and Sequential Estimators for Stationary First-order Autoregressive Models," KIER Working Papers 1060, Kyoto University, Institute of Economic Research.
• Laura Coroneo & Fabrizio Iacone, 2021. "Testing for equal predictive accuracy with strong dependence," Discussion Papers 21/03, Department of Economics, University of York.