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Report NEP-ETS-2022-01-03
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:
- Yayi Yan & Jiti Gao & Bin Peng, 2021, "Asymptotics for Time-Varying Vector MA(∞) Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/21.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021, "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers, arXiv.org, number 2112.05302, Dec.
- Alessandro Casini, 2021, "The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity," Papers, arXiv.org, number 2111.14590, Nov, revised Aug 2024.
- Salman Huseynov, 2021, "Long and short memory in dynamic term structure models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-15, Dec.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021, "Option Pricing with State-dependent Pricing Kernel," Papers, arXiv.org, number 2112.05308, Dec, revised Apr 2022.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2021, "Approximating Bayes in the 21st Century," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/21.