Report NEP-ETS-2023-08-14
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-ETS
The following items were announced in this report:
- Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
- Òscar Jordà, 2023. "Local Projections for Applied Economics," Working Paper Series 2023-16, Federal Reserve Bank of San Francisco.
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023. "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers 2307.01779, arXiv.org.
- Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
- Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi, 2023. "Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods," Papers 2307.02375, arXiv.org, revised May 2024.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
- Luca Benati & Thomas A. Lubik, 2023. "Impulse Response Analysis at the Zero Lower Bound," Diskussionsschriften dp2306, Universitaet Bern, Departement Volkswirtschaft.
- Alejandro Rodriguez Dominguez & Irving Ramirez Carrillo & David Parraga Riquelme, 2023. "Measuring Cause-Effect with the Variability of the Largest Eigenvalue," Papers 2307.04953, arXiv.org, revised Jul 2023.