Printed from https://ideas.repec.org/n/nep-ets/2022-05-16.html
Report NEP-ETS-2022-05-16
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:
- Duan, Fang, 2022, "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 945, DOI: 10.4419/96973106.
- Zexuan Yin & Paolo Barucca, 2022, "Variational Heteroscedastic Volatility Model," Papers, arXiv.org, number 2204.05806, Apr.
- Li, Chenxing, 2022, "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper, University Library of Munich, Germany, number 112792, Mar.
- Christis Katsouris, 2022, "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers, arXiv.org, number 2204.02073, Apr, revised Aug 2023.