Report NEP-ETS-2022-02-28

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:

• Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics 2179, Faculty of Economics, University of Cambridge.
• G. Cubadda & S. Grassi & B. Guardabascio, 2022. "The Time-Varying Multivariate Autoregressive Index Model," Papers 2201.07069, arXiv.org.
• Calonaci, Fabio & Kapetanios, George & Price, Simon, 2022. "Stock returns predictability with unstable predictors," Essex Finance Centre Working Papers 32331, University of Essex, Essex Business School.
• Karsten Schweikert, 2022. "Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors," Papers 2201.05430, arXiv.org, revised Sep 2024.
• Jérôme Trinh, 2022. "Testing for cointegration with structural changes in very small sample," THEMA Working Papers 2022-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Chen, Zezhun Chen & Dassios, Angelos & Tzougas, George, 2023. "A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations," LSE Research Online Documents on Economics 112222, London School of Economics and Political Science, LSE Library.
• Hamermesh, Daniel S. & Pfann, Gerard A., 2022. "The Variability and Volatility of Sleep: An Archetypal Approach," IZA Discussion Papers 15001, Institute of Labor Economics (IZA).
• Kohei Hayashi & Kei Nakagawa, 2022. "Fractional SDE-Net: Generation of Time Series Data with Long-term Memory," Papers 2201.05974, arXiv.org, revised Aug 2022.