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. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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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 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Zexuan Yin & Paolo Barucca, 2022. "Variational Heteroscedastic Volatility Model," Papers 2204.05806, arXiv.org.
• Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
• Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.