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Report NEP-ETS-2023-12-11
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:
- Peter Reinhard Hansen & Yiyao Luo, 2023, "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers, arXiv.org, number 2310.19992, Oct.
- Alain Hecq & Daniel Velasquez-Gaviria, 2023, "Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models," Papers, arXiv.org, number 2310.19543, Oct.
- Russell Davidson & Andrea Monticini, 2023, "Bootstrap Performance with Heteroskedasticity," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def130, Nov.
- Annika Camehl & Tomasz Wo'zniak, 2023, "Time-Varying Identification of Monetary Policy Shocks," Papers, arXiv.org, number 2311.05883, Nov, revised May 2024.
- Christis Katsouris, 2023, "Optimal Estimation Methodologies for Panel Data Regression Models," Papers, arXiv.org, number 2311.03471, Nov, revised Nov 2023.
- Byoung Hark Yoo, 2023, "Conditional Forecasting With a Bayesian Vector Autoregression: Working Paper 2023-08," Working Papers, Congressional Budget Office, number 59629, Nov.
- Scott Alan Carson & Wael M. Al-Sawai & Scott A. Carson, 2023, "Partially Adaptive Econometric Methods and Vertically Integrated Majors in the Oil and Gas Industry," CESifo Working Paper Series, CESifo, number 10733.
- John Y. Campbell & Can Gao & Ian Martin, 2023, "Debt and Deficits: Fiscal Analysis with Stationary Ratios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-101, Nov.