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Report NEP-ETS-2023-03-06
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:
- Jia Chen & Degui Li & Yuning Li & Oliver Linton, 2023, "Estimating Time-Varying Networks for High-Dimensional Time Series," Papers, arXiv.org, number 2302.02476, Feb.
- Joshua C. C. Chan & Aubrey Poon & Dan Zhu, 2023, "High-Dimensional Conditionally Gaussian State Space Models with Missing Data," Papers, arXiv.org, number 2302.03172, Feb.
- Heino Bohn Nielsen & Anders Rahbek, 2023, "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers, arXiv.org, number 2302.02867, Feb.
- Patrick Aschermayr & Konstantinos Kalogeropoulos, 2023, "Sequential Bayesian Learning for Hidden Semi-Markov Models," Papers, arXiv.org, number 2301.10494, Jan.
- Marín Díazaraque, Juan Miguel & Lopes Moreira da Veiga, María Helena, 2023, "Shock-triggered asymmetric response stochastic volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 36569, Feb.
- Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023, "Bayesian Local Projections," Working Papers, Center for Research in Economics and Statistics, number 2023-04, Feb.
- Karl-Friedrich Keunecke & Cay Oertel, 2022, "Volatility modeling of property markets: A note on the distribution of GARCH innovation," ERES, European Real Estate Society (ERES), number 2022_97, Jan.
- Hana, Yuefeng & Chenb, Rong & Zhangb, Cun-Hui & Yao, Qiwei, 2023, "Simultaneous decorrelation of matrix time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117386, Jan.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2023, "Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates," Papers, arXiv.org, number 2302.02866, Feb, revised Oct 2023.
- Niels Gillmann & Ostap Okhrin, 2023, "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers, arXiv.org, number 2302.02808, Feb.
- Ye Lu & Adrian Pagan, 2023, "To Boost or Not to Boost? That is the Question," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2023-12, Feb.
- Christis Katsouris, 2023, "Testing for Structural Change under Nonstationarity," Papers, arXiv.org, number 2302.02370, Feb.