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Report NEP-ETS-2023-10-23
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:
- Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023, "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper, University Library of Munich, Germany, number 118459, Sep.
- Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023, "Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models," Papers, arXiv.org, number 2309.08800, Sep.
- Christis Katsouris, 2023, "Unified Inference for Dynamic Quantile Predictive Regression," Papers, arXiv.org, number 2309.14160, Sep, revised Nov 2023.
- Karin Klieber, 2023, "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers, arXiv.org, number 2309.04821, Sep.