Report NEP-ETS-2023-10-23

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:

• Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
• Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023. "Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models," Papers 2309.08800, arXiv.org.
• Christis Katsouris, 2023. "Unified Inference for Dynamic Quantile Predictive Regression," Papers 2309.14160, arXiv.org, revised Nov 2023.
• Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.