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Report NEP-ETS-2023-10-09
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:
- Zongwu Cai & Gunawan, 2023, "A Combination Forecast for Nonparametric Models with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202310, Sep, revised Sep 2023.
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023, "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-051/III, Aug.
- German Rodikov & Nino Antulov-Fantulin, 2023, "Introducing the $\sigma$-Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting," Papers, arXiv.org, number 2309.01565, Sep.
- Yicong Lin & Mingxuan Song, 2023, "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-049/III, Aug.
- Amilcar Velez, 2023, "The Local Projection Residual Bootstrap for AR(1) Models," Papers, arXiv.org, number 2309.01889, Sep, revised Oct 2025.
- Eva F. Janssens & Sean McCrary, 2023, "Finite-State Markov-Chain Approximations: A Hidden Markov Approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-040, May, DOI: 10.17016/FEDS.2023.040.