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Report NEP-ETS-2022-02-07
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:
- Alessia Paccagnini & Fabio Parla, 2021, "Identifying High-Frequency Shockswith Bayesian Mixed-Frequency VARs," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 97, Dec.
- Adrian Pagan & Tim Robinson, 2020, "Too Many Shocks Spoil the Interpretation," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2020n02, Feb.
- Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022, "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 202203, Jan.
- Arnab Chakrabarti & Rituparna Sen, 2022, "Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix," Papers, arXiv.org, number 2201.00119, Jan.