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Report NEP-ETS-2023-08-14
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:
- Bauwens, Luc & Xu, Yongdeng, 2023, "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2023/20, Jul.
- Òscar Jordà, 2023, "Local Projections for Applied Economics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2023-16, Jul, DOI: 10.24148/wp2023-16.
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023, "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers, arXiv.org, number 2307.01779, Jul.
- Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023, "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2365, Jun.
- Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi, 2023, "Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods," Papers, arXiv.org, number 2307.02375, Jul, revised May 2024.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023, "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2364, Jun.
- Luca Benati & Thomas A. Lubik, 2023, "Impulse Response Analysis at the Zero Lower Bound," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp2306, Jun.
- Alejandro Rodriguez Dominguez & Om Hari Yadav, 2023, "A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices," Papers, arXiv.org, number 2307.04953, Jul, revised Nov 2025.