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Report NEP-ETS-2024-05-20
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:
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024, "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper, Tor Vergata University, CEIS, number 574, Apr, revised 23 Apr 2024.
- Paulo Parente & Richard J. Smith, 2024, "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers, Institute for Fiscal Studies, number 08/24, Apr, DOI: 10.47004/wp.cem.2024.0824.
- Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024, "Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility," Papers, arXiv.org, number 2404.11057, Apr, revised Oct 2025.
- Abdulnasser Hatemi-J, 2024, "On the Asymmetric Volatility Connectedness," Papers, arXiv.org, number 2404.12997, Apr, revised May 2024.
- Mustafa R. K{i}l{i}nc{c} & Michael Massmann, 2024, "The modified conditional sum-of-squares estimator for fractionally integrated models," Papers, arXiv.org, number 2404.12882, Apr, revised Mar 2026.