Report NEP-ETS-2024-04-08

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:

• Romain Aumond & Julien Royer, 2024. "Improving the robustness of Markov-switching dynamic factor models with time-varying volatility," Working Papers 2024-04, Center for Research in Economics and Statistics.
• Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org, revised Jul 2024.
• Benjamin Wee, 2024. "Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration," Papers 2402.12384, arXiv.org.
• Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.