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Report NEP-ETS-2024-07-22
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:
- Justyna Wr'oblewska & {L}ukasz Kwiatkowski, 2024, "Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity," Papers, arXiv.org, number 2406.03053, Jun, revised Jun 2024.
- Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024, "Cluster GARCH," Papers, arXiv.org, number 2406.06860, Jun.
- Yijie Fei & Yiu Lim Lui & Jun Yu, 2024, "Testing Predictability in the Presence of Persistent Errors," Working Papers, University of Macau, Faculty of Business Administration, number 202401, Jun.
- Tibor Szendrei & Arnab Bhattacharjee & Mark E. Schaffer, 2024, "MIDAS-QR with 2-Dimensional Structure," Papers, arXiv.org, number 2406.15157, Jun.
- Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024, "When can weak latent factors be statistically inferred?," Papers, arXiv.org, number 2407.03616, Jul, revised Sep 2024.
- Marco Cozzi, 2024, "An Aggregation-Consistent Implementation of the Hamilton Filter," Department Discussion Papers, Department of Economics, University of Victoria, number 2401, May.