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Report NEP-ETS-2024-02-19
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:
- Daniel Dzikowski & Carsten Jentsch, 2024, "Structural Periodic Vector Autoregressions," Papers, arXiv.org, number 2401.14545, Jan, revised Aug 2025.
- Xuanling Yang & Dong Li & Ting Zhang, 2024, "Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach," Papers, arXiv.org, number 2401.07038, Jan, revised Jan 2025.
- Christis Katsouris, 2024, "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers, arXiv.org, number 2401.04050, Jan.
- Efthymios Pavlidis, 2024, "Bubbles and Crashes," Working Papers, Lancaster University Management School, Economics Department, number 404203101.
- Makoto Takahashi & Yuta Yamauchi & Toshiaki Watanabe & Yasuhiro Omori, 2024, "Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting," Papers, arXiv.org, number 2401.13179, Jan, revised Jan 2026.
- Zongwu Cai & Ying Fang & Dingshi Tian, 2024, "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202403, Jan, revised Jan 2024.
- Xinshuai Dong & Haoyue Dai & Yewen Fan & Songyao Jin & Sathyamoorthy Rajendran & Kun Zhang, 2023, "On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors," Papers, arXiv.org, number 2401.05414, Dec, revised Jan 2024.