Printed from https://ideas.repec.org/n/nep-ets/2024-04-15.html
Report NEP-ETS-2024-04-15
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:
- Anders Bredahl Kock & Rasmus S{o}ndergaard Pedersen & Jesper Riis-Vestergaard S{o}rensen, 2024, "Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions," Papers, arXiv.org, number 2403.06657, Mar, revised Dec 2024.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024, "Partially identified heteroskedastic SVARs," Papers, arXiv.org, number 2403.06879, Mar, revised Mar 2026.
- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024, "Invalid proxies and volatility changes," Papers, arXiv.org, number 2403.08753, Mar, revised Nov 2025.
- Degui Li & Oliver Linton & Haoxuan Zhang, 2024, "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers, arXiv.org, number 2403.06246, Mar.
- Bailly, Gabriel & von Sachs, Rainer, 2024, "Time-Varying Covariance Matrices Estimation by Nonlinear Wavelet Thresholding in a Log-Euclidean Riemannian Manifold," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2024004, Feb.