Report NEP-ETS-2024-12-02

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:

• Donald W. K. Andrews & Ming Li, 2024. "Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model," Papers 2411.00358, arXiv.org.
• Dierkes, Maik & Fitter, Krischan & Sibbertsen, Philipp, 2024. "Monitoring Breaks in Fractional Cointegration," Hannover Economic Papers (HEP) dp-728, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Florian Huber & Christian Matthes & Michael Pfarrhofer, 2024. "General Seemingly Unrelated Local Projections," Papers 2410.17105, arXiv.org, revised Dec 2024.
• Fotso, Chris Toumping & Sibbertsen, Philipp, 2024. "Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory," Hannover Economic Papers (HEP) dp-730, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Tomonori Takahashi & Takayuki Mizuno, 2024. "Generation of synthetic financial time series by diffusion models," Papers 2410.18897, arXiv.org.
• Liudas Giraitis & George Kapetanios & Yufei Li, 2024. "Regression Modelling under General Heterogeneity," Working Papers 983, Queen Mary University of London, School of Economics and Finance.
• Alex Li, 2024. "Volatility Forecasting in Global Financial Markets Using TimeMixer," Papers 2410.09062, arXiv.org.
• Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers 24-069/III, Tinbergen Institute.
• Mustafa R. K{i}l{i}nc{c} & Michael Massmann & Maximilian Ambros, 2024. "Testing the order of fractional integration in the presence of smooth trends, with an application to UK Great Ratios," Papers 2410.10749, arXiv.org.
• Abhishek Pal Majumder, 2024. "Long time behavior of semi-Markov modulated perpetuity and some related processes," Papers 2410.15824, arXiv.org.