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. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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