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Report NEP-ETS-2021-03-08
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Chen, Likai & Wang, Weining & Wu, Wei Biao, 2020, "Inference of breakpoints in high-dimensional time series," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-019.
- Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021, "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-020/III, Feb.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Moment tests of independent components," Working Papers, CEMFI, number wp2021_2102, Feb.
- Li, M. Z. & Linton, O., 2021, "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2115, Feb.
- Fryzlewicz, Piotr, 2020, "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103430, Dec.
- Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers, Center for Research in Economics and Statistics, number 2021-05, Mar.
- Dohyun Chun & Donggyu Kim, 2021, "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers, arXiv.org, number 2102.13404, Feb.
- Donggyu Kim & Minseok Shin & Yazhen Wang, 2021, "Overnight GARCH-It\^o Volatility Models," Papers, arXiv.org, number 2102.13467, Feb, revised Jun 2022.
- Magris Martin & Iosifidis Alexandros, 2021, "Approximate Bayes factors for unit root testing," Papers, arXiv.org, number 2102.10048, Feb, revised Feb 2021.
- Mario Faliva & Maria Grazia Zoia, 2021, "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers, arXiv.org, number 2102.10626, Feb.
- Wang, Weining & Yu, Lining & Wang, Bingling, 2020, "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-022.