Report NEP-ETS-2023-01-09

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:

• Guo, Shaojun & Qiao, Xinghao, 2023. "On consistency and sparsity for high-dimensional functional time series with application to autoregressions," LSE Research Online Documents on Economics 114638, London School of Economics and Political Science, LSE Library.
• Mawuli Segnon, 2022. "Strict stationarity of Poisson integer-valued ARCH processes of order infinity," CQE Working Papers 10222, Center for Quantitative Economics (CQE), University of Muenster.
• Andrea Bucci, 2022. "A smooth transition autoregressive model for matrix-variate time series," Papers 2212.08615, arXiv.org.
• Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Bent Jesper Christensen & Luca Neri & Juan Carlos Parra-Alvarez, 2022. "Estimation of continuous-time linear DSGE models from discrete-time measurements," CREATES Research Papers 2022-12, Department of Economics and Business Economics, Aarhus University.
• Andreas Marcus Gohs, 2022. "The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distributi," MAGKS Papers on Economics 202246, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org, revised Aug 2024.
• L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Rameshwar Garg & Shriya Barpanda & Girish Rao Salanke N S & Ramya S, 2022. "Machine Learning Algorithms for Time Series Analysis and Forecasting," Papers 2211.14387, arXiv.org.
• Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022. "External Instrument SVAR Analysis for Noninvertible Shocks," The Warwick Economics Research Paper Series (TWERPS) 1444, University of Warwick, Department of Economics.