Report NEP-ETS-2024-12-09

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. "Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series," Papers 2411.05601, arXiv.org.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2024. "Volatility models versus intensity models: analogy and differences," MPRA Paper 122528, University Library of Munich, Germany.
• Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Nowcasting distributions: a functional MIDAS model," Papers 2411.05629, arXiv.org.
• Jamie L. Cross & Aubrey Poon & Wenying Yao & Dan Zhu, 2024. "A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis," Working Papers No 06/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Clark, Todd E. & Ganics, Gergely & Mertens, Elmar, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Discussion Papers 38/2024, Deutsche Bundesbank.
• Iva Glišic, 2024. "A comparison of using MIDAS and LSTM models for GDP nowcasting," Working Papers Bulletin 22, National Bank of Serbia.