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Report NEP-ETS-2024-04-08
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:
- Romain Aumond & Julien Royer, 2024, "Improving the robustness of Markov-switching dynamic factor models with time-varying volatility," Working Papers, Center for Research in Economics and Statistics, number 2024-04, Mar.
- Thilo Reinschlussel & Martin C. Arnold, 2024, "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers, arXiv.org, number 2402.16580, Feb, revised Jul 2024.
- Benjamin Wee, 2024, "Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration," Papers, arXiv.org, number 2402.12384, Jan.
- Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024, "Jump detection in high-frequency order prices," Papers, arXiv.org, number 2403.00819, Feb, revised Aug 2025.