Report NEP-ETS-2024-12-16

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:

• Jihyun Park & Andrey Sarantsev, 2024. "Log Heston Model for Monthly Average VIX," Papers 2410.22471, arXiv.org.
• Haowen Bao & Yongmiao Hong & Yuying Sun & Shouyang Wang, 2024. "Sparse Interval-valued Time Series Modeling with Machine Learning," Papers 2411.09452, arXiv.org.
• Jihyun Park & Andrey Sarantsev, 2024. "The VIX as Stochastic Volatility for Corporate Bonds," Papers 2410.22498, arXiv.org, revised Nov 2024.
• Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)," Papers 2410.20885, arXiv.org.
• Daniele Ballinari & Alexander Wehrli, 2024. "Semiparametric inference for impulse response functions using double/debiased machine learning," Papers 2411.10009, arXiv.org.
• Michal Koles'ar & Mikkel Plagborg-M{o}ller, 2024. "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly," Papers 2411.10415, arXiv.org, revised Dec 2024.
• Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.
• Philipp Gersing, 2024. "On the Existence of One-Sided Representations in the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org.