Report NEP-ETS-2024-01-22

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:

• Joann Jasiak & Aryan Manafi Neyazi, 2023. "GCov-Based Portmanteau Test," Papers 2312.05373, arXiv.org.
• Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org.
• Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.
• Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2024. "Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach," Essex Finance Centre Working Papers 37486, University of Essex, Essex Business School.
• Agathe Sadeghi & Achintya Gopal & Mohammad Fesanghary, 2023. "Causal Discovery in Financial Markets: A Framework for Nonstationary Time-Series Data," Papers 2312.17375, arXiv.org, revised Jun 2024.