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Report NEP-ETS-2024-12-16
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:
- Jihyun Park & Andrey Sarantsev, 2024, "Log Heston Model for Monthly Average VIX," Papers, arXiv.org, number 2410.22471, Oct.
- Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024, "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers, arXiv.org, number 2411.09452, Nov.
- Jihyun Park & Andrey Sarantsev, 2024, "The VIX as Stochastic Volatility for Corporate Bonds," Papers, arXiv.org, number 2410.22498, Oct, revised Jan 2025.
- Philipp Gersing, 2024, "A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)," Papers, arXiv.org, number 2410.20885, Oct.
- Daniele Ballinari & Alexander Wehrli, 2024, "Semiparametric inference for impulse response functions using double/debiased machine learning," Papers, arXiv.org, number 2411.10009, Nov, revised Dec 2025.
- Michal Koles'ar & Mikkel Plagborg-M{o}ller, 2024, "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly," Papers, arXiv.org, number 2411.10415, Nov, revised Jul 2025.
- Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024, "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports, Federal Reserve Bank of New York, number 1132, Oct, DOI: 10.59576/sr.1132.
- Philipp Gersing, 2024, "On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model," Papers, arXiv.org, number 2410.18159, Oct, revised Jul 2025.