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Report NEP-ETS-2024-12-23
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:
- Kenichiro Shiraya & Kanji Suzuki & Tomohisa Yamakami, 2024, "New approaches of the DCC-GARCH residual: Application to foreign exchange rates," Papers, arXiv.org, number 2411.08246, Nov.
- Jihyun Park & Andrey Sarantsev, 2024, "Zero-Coupon Treasury Rates and Returns using the Volatility Index," Papers, arXiv.org, number 2411.03699, Nov, revised Jan 2025.
- Gabriel Rodriguez-Rondon & Jean-Marie Dufour, 2024, "MSTest: An R-Package for Testing Markov Switching Models," Papers, arXiv.org, number 2411.08188, Nov.
- Kranz, Sebastian, 2024, "From Replications to Revelations: Heteroskedasticity-Robust Inference," MPRA Paper, University Library of Munich, Germany, number 122724, Nov.
- Wenchao Xu & Xinyu Zhang, 2024, "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers, arXiv.org, number 2411.09258, Nov.