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Report NEP-ETS-2023-11-13
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:
- Michal Bencik, 2023, "MIDAS regression: a new horse in the race of filtering macroeconomic time series," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 8/2023, Oct.
- Anastasiou, Andreas & Cribben, Ivor & Fryzlewicz, Piotr, 2022, "Cross-covariance isolate detect: a new change-point method for estimating dynamic functional connectivity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 112148, Jan.
- Bauwens, Luc & Otranto, Edoardo, 2023, "Realized Covariance Models with Time-varying Parameters and Spillover Effects," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2023019, Jul.
- Maria Kulikova & Gennady Kulikov, 2023, "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers, arXiv.org, number 2310.04125, Oct.
- Daniele Massacci, 2023, "Instability of Factor Strength in Asset Returns," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 685, Oct.
- Sascha A. Keweloh, 2023, "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers, arXiv.org, number 2310.08173, Oct.
- B. Cooper Boniece & Lajos Horv'ath & Lorenzo Trapani, 2023, "On changepoint detection in functional data using empirical energy distance," Papers, arXiv.org, number 2310.04853, Oct.