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Report NEP-ETS-2022-03-07
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:
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022, "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2022-02.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022, "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers, arXiv.org, number 2202.02532, Feb.
- Isuru Ratnayake & V. A. Samaranayake, 2022, "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers, arXiv.org, number 2202.03351, Feb, revised Mar 2022.
- Benjamin Poignard & Manabu Asai, 2022, "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers, arXiv.org, number 2201.08584, Jan, revised May 2022.
- Ke-Li Xu, 2022, "On Local Projection Based Inference," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2022-002 Classification-, Feb.
- Wolf, Elias, 2022, "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers, Free University Berlin, School of Business & Economics, number 2022/2.
- Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022, "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers, arXiv.org, number 2201.08283, Jan.
- Ovielt Baltodano Lopez & Federico Bassetti & Giulia Carallo & Roberto Casarin, 2022, "First-order integer-valued autoregressive processes with Generalized Katz innovations," Papers, arXiv.org, number 2202.02029, Feb, revised Dec 2024.
- Juho Koistinen & Bernd Funovits, 2022, "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers, arXiv.org, number 2202.00310, Feb, revised Feb 2022.