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Report NEP-ETS-2023-05-29
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:
- Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2023, "State-Dependent Local Projections," Working Papers, Federal Reserve Bank of Dallas, number 2302, Apr, DOI: 10.24149/wp2302.
- Christis Katsouris, 2023, "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers, arXiv.org, number 2305.00860, May, revised May 2023.
- Luis J. Álvarez & Florens Odendahl, 2022, "Data outliers and Bayesian VARs in the Euro Area," Working Papers, Banco de España, number 2239, Nov, DOI: https://doi.org/10.53479/23552.
- Paulo M.M. Rodrigues & João Nicolau, 2023, "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers, Banco de Portugal, Economics and Research Department, number w202306.
- Baye Matar Kandji, 2023, "On the growth rate of superadditive processes and the stability of functional GARCH models," Working Papers, Center for Research in Economics and Statistics, number 2023-07, May.
- Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023, "Generative modeling for time series via Schrödinger bridge," Working Papers, HAL, number hal-04063041, Apr.
- Carsten H. Chong & Viktor Todorov, 2023, "Volatility of Volatility and Leverage Effect from Options," Papers, arXiv.org, number 2305.04137, May, revised Jan 2024.
- Cheng Zhang & Nilam Nur Amir Sjarif & Roslina Ibrahim, 2023, "Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022," Papers, arXiv.org, number 2305.04811, Apr, revised Sep 2023.
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2023, "Estimating Macroeconomic News and Surprise Shocks," Working Papers, Federal Reserve Bank of Dallas, number 2304, Apr, revised 22 Mar 2024, DOI: 10.24149/wp2304r2.