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Report NEP-ETS-2024-06-17
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:
- Zacharias Psaradakis & Martin Sola & Francisco Rapetti & Patricio Yunis, 2024, "The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2024_01, Apr.
- Emanuele Bacchiocchi & Toru Kitagawa, 2024, "SVARs with breaks: Identification and inference," Papers, arXiv.org, number 2405.04973, May.
- Veldhuis, Sebastian & Wagner, Martin, 2024, "Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series, Institute for Advanced Studies, number 54, May.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024, "Testing for an Explosive Bubble using High-Frequency Volatility," Papers, arXiv.org, number 2405.02087, May.
- Battulga Gankhuu, 2024, "Bayesian Markov-Switching Vector Autoregressive Process," Papers, arXiv.org, number 2404.11235, Apr, revised Sep 2024.
- Savi Virolainen, 2024, "Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models," Papers, arXiv.org, number 2404.19707, Apr, revised Sep 2025.
- Joshua Brault, 2024, "Parallel Tempering for DSGE Estimation," Staff Working Papers, Bank of Canada, number 24-13, May, DOI: 10.34989/swp-2024-13.