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Report NEP-ETS-2023-01-09
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:
- Guo, Shaojun & Qiao, Xinghao, 2023, "On consistency and sparsity for high-dimensional functional time series with application to autoregressions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 114638, Feb.
- Mawuli Segnon, 2022, "Strict stationarity of Poisson integer-valued ARCH processes of order infinity," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 10222, Dec.
- Andrea Bucci, 2022, "A smooth transition autoregressive model for matrix-variate time series," Papers, arXiv.org, number 2212.08615, Dec.
- Less, Vivien & Sibbertsen, Philipp, 2022, "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-704, Dec.
- Bent Jesper Christensen & Luca Neri & Juan Carlos Parra-Alvarez, 2022, "Estimation of continuous-time linear DSGE models from discrete-time measurements," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-12, Dec.
- Andreas Marcus Gohs, 2022, "The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distribution Models and the Specification of the Mean Equati," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202246.
- Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022, "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers, arXiv.org, number 2211.16121, Nov, revised Aug 2024.
- L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022, "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202205.
- Rameshwar Garg & Shriya Barpanda & Girish Rao Salanke N S & Ramya S, 2022, "Machine Learning Algorithms for Time Series Analysis and Forecasting," Papers, arXiv.org, number 2211.14387, Nov.
- Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022, "External Instrument SVAR Analysis for Noninvertible Shocks," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1444.