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Report NEP-ETS-2024-09-02
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:
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2024, "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers, arXiv.org, number 2407.07973, Jul.
- Tassos Magdalinos & Katerina Petrova, 2024, "OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity," Staff Reports, Federal Reserve Bank of New York, number 1113, Aug, DOI: 10.59576/sr.1113.
- Matteo Barigozzi & Marc Hallin, 2024, "The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series," Papers, arXiv.org, number 2407.10653, Jul, revised May 2025.
- Zhaoxing Gao, 2024, "Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series," Papers, arXiv.org, number 2407.09738, Jul, revised Aug 2025.
- Fabrizio Lillo & Giorgio Rizzini, 2024, "Modelling shock propagation and resilience in financial temporal networks," Papers, arXiv.org, number 2407.09340, Jul.
- Parley R Yang & Alexander Y Shestopaloff, 2024, "Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration," Papers, arXiv.org, number 2407.10175, Jul.
- Jos'e E. Figueroa-L'opez & Jincheng Pang & Bei Wu, 2024, "Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators," Papers, arXiv.org, number 2407.09759, Jul, revised Sep 2025.
- Richard Luger, 2024, "Regularizing stock return covariance matrices via multiple testing of correlations," Papers, arXiv.org, number 2407.09696, Jul.
- Carsten H. Chong & Viktor Todorov, 2024, "A nonparametric test for rough volatility," Papers, arXiv.org, number 2407.10659, Jul.
- Òscar Jordà & Alan M. Taylor, 2024, "Local Projections," Working Paper Series, Federal Reserve Bank of San Francisco, number 2024-24, Aug, DOI: 10.24148/wp2024-24.
- Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024, "Online Distributional Regression," Papers, arXiv.org, number 2407.08750, Jun, revised Aug 2025.