Report NEP-ETS-2024-11-18

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:

• Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance," Papers 2410.14513, arXiv.org.
• Farley Ishaak & Peng Liu & Egbert Hardeman & Hilde Remoy, 2024. "Forecasting House Prices And Rents: Combining Dynamic Factor Models and Machine Learning," ERES eres2024-207, European Real Estate Society (ERES).
• Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
• Anubha Goel & Puneet Pasricha & Juho Kanniainen, 2024. "Time-Series Foundation Model for Value-at-Risk," Papers 2410.11773, arXiv.org, revised Oct 2024.
• Pulikandala Nithish Kumar & Nneka Umeorah & Alex Alochukwu, 2024. "Dynamic graph neural networks for enhanced volatility prediction in financial markets," Papers 2410.16858, arXiv.org.
• Ter Steege, Lucas, 2024. "Variational inference for Bayesian panel VAR models," Working Paper Series 2991, European Central Bank.
• Sohyeon Kwon & Yongjae Lee, 2024. "Can GANs Learn the Stylized Facts of Financial Time Series?," Papers 2410.09850, arXiv.org.