Report NEP-ETS-2022-07-11

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:

• Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.
• Luca Mattia Rolla & Alessandro Giovannelli, 2022. "The Forecasting performance of the Factor model with Martingale Difference errors," Papers 2205.10256, arXiv.org, revised Jun 2023.
• Mika Meitz & Pentti Saikkonen, 2022. "Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity," Papers 2205.11953, arXiv.org, revised Apr 2023.
• Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
• Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2022. "Dealing with dimension reduction in financial panel data," DEM Working Papers Series 207, University of Pavia, Department of Economics and Management.
• Marcaccioli, Riccardo & Livan, Giacomo, 2020. "Maximum entropy approach to multivariate time series randomization," LSE Research Online Documents on Economics 115284, London School of Economics and Political Science, LSE Library.