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Report NEP-ETS-2022-10-31
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:
- Matthew Read, 2022, "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2022-04, Oct, DOI: 10.47688/rdp2022-04.
- Marina Khismatullina & Michael Vogt, 2022, "Multiscale Comparison of Nonparametric Trend Curves," Papers, arXiv.org, number 2209.10841, Sep.
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022, "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers, arXiv.org, number 2209.11970, Sep, revised May 2023.
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022, "Statistical inference for rough volatility: Central limit theorems," Papers, arXiv.org, number 2210.01216, Oct, revised Jun 2024.
- Francesca Biagini & Lukas Gonon & Andrea Mazzon & Thilo Meyer-Brandis, 2022, "Detecting asset price bubbles using deep learning," Papers, arXiv.org, number 2210.01726, Oct, revised Jun 2024.