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Report NEP-ETS-2025-01-06
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:
- Gabriele Mingoli, 2024, "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-072/III, Nov.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024, "Multivariate Rough Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 589, Dec, revised 20 Dec 2024.
- Tae-Hwy Lee & Ekaterina Seregina, 2024, "Combining Forecasts under Structural Breaks Using Graphical LASSO," Working Papers, University of California at Riverside, Department of Economics, number 202413, Dec.
- Lars-H. R. Siemers, 2024, "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202421.
- Donggyu Kim, 2024, "High-Dimensional Time-Varying Coefficient Estimation," Working Papers, University of California at Riverside, Department of Economics, number 202416, Dec.
- Tae-Hwy Lee & Tao Wang, 2024, "Estimation and Testing of Forecast Rationality with Many Moments," Working Papers, University of California at Riverside, Department of Economics, number 202412, Dec.
- Sung Hoon Choi & Donggyu Kim, 2024, "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Working Papers, University of California at Riverside, Department of Economics, number 202423, Dec.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2024, "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper, University Library of Munich, Germany, number 123060, Dec.
- Donggyu Kim & Minseok Shin, 2024, "Robust High-Dimensional Time-Varying Coefficient Estimation," Working Papers, University of California at Riverside, Department of Economics, number 202417, Dec.
- Donggyu Kim & Minseok Shin, 2024, "Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure," Working Papers, University of California at Riverside, Department of Economics, number 202418, Dec.
- Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024, "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202415, Dec.
- Siddhartha Chib & Minchul Shin & Anna Simoni, 2024, "Testing for Endogeneity: A Moment-Based Bayesian Approach," Working Papers, Federal Reserve Bank of Philadelphia, number 24-19, Nov, DOI: 10.21799/frbp.wp.2024.19.
- Hao Hao & Tae-Hwy Lee, 2024, "Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant," Working Papers, University of California at Riverside, Department of Economics, number 202411, Dec.
- Jianqing Fan & Donggyu Kim & Minseok Shin, 2024, "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202419, Dec.
- Sung Hoon Choi & Donggyu Kim, 2024, "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Working Papers, University of California at Riverside, Department of Economics, number 202424, Dec.