Report NEP-ETS-2024-11-04

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:

• Aknouche, Abdelhakim, 2024. "Periodically homogeneous Markov chains: The discrete state space case," MPRA Paper 122287, University Library of Munich, Germany.
• Ignace De Vos & Gerdie Everaert, 2024. "GLS Estimation of Local Projections: Trading Robustness for Efficiency," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1095, Ghent University, Faculty of Economics and Business Administration.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2024. "VAR Models with Fat Tails and Dynamic Asymmetry," Working Papers 2024:8, Örebro University, School of Business.
• Manuel Stapper, 2024. "Accounting for Asymmetry in M-Estimation," CQE Working Papers 10924, Center for Quantitative Economics (CQE), University of Muenster.
• Laura Coroneo & Fabrizio Iacone, 2024. "Testing for equal predictive accuracy with strong dependence," Papers 2409.12662, arXiv.org.
• Anna Kiriliouk & Chen Zhou, 2024. "Tail Risk Analysis for Financial Time Series," Papers 2409.18643, arXiv.org.