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Report NEP-ETS-2024-10-28
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:
- Joshua C. C. Chan & Yaling Qi, 2024, "Large Bayesian Tensor VARs with Stochastic Volatility," Papers, arXiv.org, number 2409.16132, Sep.
- Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024, "A new GARCH model with a deterministic time-varying intercept," Papers, arXiv.org, number 2410.03239, Oct, revised Oct 2024.
- Leona Han Chen & Yijie Fei & Jun Yu, 2024, "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers, University of Macau, Faculty of Business Administration, number 202419, Oct.
- Zeda Xu & John Liechty & Sebastian Benthall & Nicholas Skar-Gislinge & Christopher McComb, 2024, "GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets," Papers, arXiv.org, number 2410.00288, Sep.
- Kurt Graden Lunsford & Kenneth D. West, 2024, "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers, Federal Reserve Bank of Cleveland, number 24-20, Sep, DOI: 10.26509/frbc-wp-202420.
- Francesco Fusari & Joe Marlow & Alessio Volpicella, 2024, "Estimation and Inference of the Forecast Error Variance Decomposition for Set-Identified SVARs," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0424, Sep.
- Eugene Dettaa & Endong Wang, 2024, "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers, arXiv.org, number 2410.04330, Oct.
- Yinhao Wu & Ping He, 2024, "The continuous-time limit of quasi score-driven volatility models," Papers, arXiv.org, number 2409.14734, Sep, revised Jun 2025.
- Zhe Sun & Yundong Tu, 2024, "Factors in Fashion: Factor Analysis towards the Mode," Papers, arXiv.org, number 2409.19287, Sep.
- Roberto Fuentes-Mart'inez & Irene Crimaldi & Armando Rungi, 2024, "Non-linear dependence and Granger causality: A vine copula approach," Papers, arXiv.org, number 2409.15070, Sep, revised May 2025.
- Jin Seo Cho & Peter C.B. Phillips, 2024, "GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2024rwp-232, Oct.
- Luca Margaritella & Ovidijus Stauskas, 2024, "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers, arXiv.org, number 2409.20415, Sep, revised Nov 2025.