Report NEP-ETS-2024-09-02

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:

• Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
• Tassos Magdalinos & Katerina Petrova, 2024. "OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity," Staff Reports 1113, Federal Reserve Bank of New York.
• Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org.
• Zhaoxing Gao, 2024. "Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon," Papers 2407.09738, arXiv.org.
• Fabrizio Lillo & Giorgio Rizzini, 2024. "Modelling shock propagation and resilience in financial temporal networks," Papers 2407.09340, arXiv.org.
• Parley R Yang & Alexander Y Shestopaloff, 2024. "Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration," Papers 2407.10175, arXiv.org.
• Jos'e E. Figueroa-L'opez & Jincheng Pang & Bei Wu, 2024. "Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators," Papers 2407.09759, arXiv.org.
• Richard Luger, 2024. "Regularizing stock return covariance matrices via multiple testing of correlations," Papers 2407.09696, arXiv.org.
• Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
• Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
• Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2024.