Report NEP-ETS-2022-07-25

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:

• Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
• Robert Ambrisko, 2022. "Nowcasting Macroeconomic Variables Using High-Frequency Fiscal Data," Working Papers 2022/5, Czech National Bank.
• Sebastian Kripfganz & Daniel C. Schneider, 2022. "ardl: Estimating autoregressive distributed lag and equilibrium correction models," TUPD Discussion Papers 18, Graduate School of Economics and Management, Tohoku University.
• Alexandros E. Milionis & Nikolaos G. Galanopoulos & Peter Hatzopoulos & Aliki Sagianou, 2022. "Forecasting actuarial time series: a practical study of the effect of statistical pre-adjustments," Working Papers 297, Bank of Greece.
• Ruiz-Gazen, Anne & Lopuhaä, Henrik Paul & Gares, Valérie, 2022. "S-estimation in Linear Models with Structured Covariance Matrices," TSE Working Papers 22-1343, Toulouse School of Economics (TSE).
• Qiang Liu & Zhi Liu, 2022. "Estimating spot volatility under infinite variation jumps with dependent market microstructure noise," Papers 2205.15738, arXiv.org, revised Feb 2023.
• R. Vilela Mendes, 2022. "The fractional volatility model and rough volatility," Papers 2206.02205, arXiv.org.
• Daniel J. Lewis & Karel Mertens, 2022. "A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors," Working Papers 2208, Federal Reserve Bank of Dallas, revised 26 Sep 2024.