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Report NEP-ETS-2024-08-12
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:
- Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024, "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers, arXiv.org, number 2407.05624, Jul.
- Andrei Renatovich Batyrov, 2024, "Electricity Spot Prices Forecasting Using Stochastic Volatility Models," Papers, arXiv.org, number 2406.19405, Jun.
- Atsushi Inoue & Lutz Kilian, 2024, "When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?," Working Papers, Federal Reserve Bank of Dallas, number 2404, Jul, DOI: 10.24149/wp2404.
- Benjamin Poignard & Manabu Asai, 2024, "Factor multivariate stochastic volatility models of high dimension," Papers, arXiv.org, number 2406.19033, Jun, revised Feb 2026.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024, "Vector AutoRegressive Moving Average Models: A Review," Papers, arXiv.org, number 2406.19702, Jun.
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024, "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers, arXiv.org, number 2406.17056, Jun.
- Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024, "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers, arXiv.org, number 2407.02262, Jul.
- Bin Chen & Yuefeng Han & Qiyang Yu, 2024, "Estimation and Inference for CP Tensor Factor Models," Papers, arXiv.org, number 2406.17278, Jun, revised Sep 2025.
- Borko Stosic & Tatijana Stosic, 2024, "Dissecting Multifractal detrended cross-correlation analysis," Papers, arXiv.org, number 2406.19406, Jun, revised Sep 2025.
- Anita Behme, 2024, "Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches," Papers, arXiv.org, number 2407.05866, Jul.
- Item repec:rim:rimwps:24-11 is not listed on IDEAS anymore
- Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024, "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers, arXiv.org, number 2407.06883, Jul.
- Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024, "Filtering with Limited Information," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 24-016, Jul.