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Report NEP-ETS-2024-10-07
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:
- Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024, "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-008/III, Jan.
- Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024, "Univariate Measures of Persistence: A Comparative Analysis," Working Papers, Banco de México, number 2024-11, Sep.
- Anton Skrobotov, 2024, "Panel Data Unit Root testing: Overview," Papers, arXiv.org, number 2408.08908, Aug.
- Francisco Blasques & Noah Stegehuis, 2024, "A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-016/III, Feb.
- Rangika Peiris & Minh-Ngoc Tran & Chao Wang & Richard Gerlach, 2024, "Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model," Papers, arXiv.org, number 2408.13588, Aug.
- Martín Almuzara & Víctor Sancibrián, 2024, "Micro responses to macro shocks," Working Papers, CEMFI, number wp2024_2412, Aug.
- Martin, Ertl & Fortin, Ines & Hlouskova, Jaroslava & Koch, Sebastian P. & Kunst, Robert M. & Soegner, Leopold, 2024, "Inflation Forecasting in Turbulent Times," IHS Working Paper Series, Institute for Advanced Studies, number 56, Sep.
- Zhuohan Wang & Carmine Ventre, 2024, "A Financial Time Series Denoiser Based on Diffusion Model," Papers, arXiv.org, number 2409.02138, Sep.