Report NEP-ETS-2024-07-29
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-ETS
The following items were announced in this report:
- Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Policymaker meetings as heteroscedasticity shifters: Identification and simultaneous inference in unstable SVARs," Papers 2407.03265, arXiv.org.
- Lucija v{Z}igni'c & Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar, 2024. "Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series," Papers 2407.03781, arXiv.org.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Kitagawa, Toru & Mirto, Elisabetta, 2024. "Partially identified heteroskedastic SVARs," FEEM Working Papers 343513, Fondazione Eni Enrico Mattei (FEEM).
- Mikihito Nishi, 2024. "Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression," Papers 2406.14046, arXiv.org.