Report NEP-ETS-2023-07-31

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:

• Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
• Yuxia Liu & Qi Zhang & Wei Xiao & Tianguang Chu, 2023. "Successive one-sided Hodrick-Prescott filter with incremental filtering algorithm for nonlinear economic time series," Papers 2306.12439, arXiv.org.
• Andrea Renzetti, 2023. "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers 2306.09287, arXiv.org, revised Nov 2023.
• Jonathan J Adams & Philip Barrett, 2023. "Identifying News Shocks from Forecasts," Working Papers 001010, University of Florida, Department of Economics.
• Eugene W. Park, 2023. "Principal Component Analysis and Hidden Markov Model for Forecasting Stock Returns," Papers 2307.00459, arXiv.org.
• Wenbo Ge & Pooia Lalbakhsh & Leigh Isai & Artem Lensky & Hanna Suominen, 2023. "Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data," Papers 2306.12446, arXiv.org, revised Jun 2023.
• Deepankar Basu, 2023. "The Yule-Frisch-Waugh-Lovell Theorem," Papers 2307.00369, arXiv.org.