Report NEP-ETS-2021-12-20

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:

• Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2021. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Papers 2111.07225, arXiv.org.
• Clements, Adam & Hurn, Stan & Volkov, Vladimir, 2021. "A simple linear alternative to multiplicative error models with an application to trading volume," Working Papers 2021-06, University of Tasmania, Tasmanian School of Business and Economics.
• Xingwei Hu, 2021. "Decoding Causality by Fictitious VAR Modeling," Papers 2111.07465, arXiv.org, revised Nov 2021.
• Luxuan Yang & Ting Gao & Yubin Lu & Jinqiao Duan & Tao Liu, 2021. "Neural network stochastic differential equation models with applications to financial data forecasting," Papers 2111.13164, arXiv.org, revised Nov 2022.
• Christian Bongiorno & Damien Challet & Gr'egoire Loeper, 2021. "Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues," Papers 2111.13109, arXiv.org, revised Mar 2023.