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Report NEP-ETS-2023-04-17
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:
- Pergamenshchikov Serguei & Pchelintsev Evgeny, 2023, "Statistical Analysis of Time Series and Forecasting," Working Papers, HAL, number hal-03969254, Feb.
- Antonis Demos, 2023, "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers, Athens University of Economics and Business, number 2309, Mar.
- Raffaele Mattera & Philipp Otto, 2023, "Network log-ARCH models for forecasting stock market volatility," Papers, arXiv.org, number 2303.11064, Mar.
- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023, "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers, arXiv.org, number 2303.10550, Mar, revised Jun 2024.
- Matteo Barigozzi, 2023, "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers, arXiv.org, number 2303.11777, Mar, revised May 2024.
- Nazif Durmaz & Hyeongwoo Kim & Hyejin Lee & Yanfei Sun, 2023, "Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2023-03, Mar.