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Report NEP-ETS-2022-02-28
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:
- Ding, Y., 2021, "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2179, Nov.
- G. Cubadda & S. Grassi & B. Guardabascio, 2022, "The Time-Varying Multivariate Autoregressive Index Model," Papers, arXiv.org, number 2201.07069, Jan.
- Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022, "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 32331, Feb.
- Karsten Schweikert, 2022, "Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors," Papers, arXiv.org, number 2201.05430, Jan, revised Sep 2024.
- Jérôme Trinh, 2022, "Testing for cointegration with structural changes in very small sample," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2022-01.
- Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023, "A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 112222, Jan.
- Hamermesh, Daniel S. & Pfann, Gerard A., 2022, "The Variability and Volatility of Sleep: An Archetypal Approach," IZA Discussion Papers, Institute of Labor Economics (IZA), number 15001, Jan.
- Kohei Hayashi & Kei Nakagawa, 2022, "Fractional SDE-Net: Generation of Time Series Data with Long-term Memory," Papers, arXiv.org, number 2201.05974, Jan, revised Aug 2022.