Report NEP-ETS-2022-01-17

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:

• Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
• Kumar Yashaswi, 2021. "Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting," Papers 2112.03193, arXiv.org.
• Pan, Jingwei, 2021. "Volatility and Dependence Models with Applications to U.S. Equity Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 129944, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Damir Filipović & Amir Khalilzadeh, 2021. "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series 21-95, Swiss Finance Institute.