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Report NEP-ETS-2025-02-03
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:
- Yuying Sun & Feng Chen & Jiti Gao, 2025, "Model Averaging for Time-Varying Vector Autoregressions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/25.
- Li, Chenxing & Yang, Qiao, 2025, "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 123200, Jan.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2025, "Detecting sparse cointegration," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 45708, Jan.
- ALAMI CHENTOUFI, Reda, 2024, "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper, University Library of Munich, Germany, number 123283, Dec.
- Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024, "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers, arXiv.org, number 2411.17136, Nov.
- Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024, "Canonical correlation analysis of stochastic trends via functional approximation," Papers, arXiv.org, number 2411.19572, Nov, revised Sep 2025.