Report NEP-ETS-2024-12-23

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:

• Kenichiro Shiraya & Kanji Suzuki & Tomohisa Yamakami, 2024. "New approaches of the DCC-GARCH residual: Application to foreign exchange rates," Papers 2411.08246, arXiv.org.
• Jihyun Park & Andrey Sarantsev, 2024. "Zero-Coupon Treasury Rates and Returns using the Volatility Index," Papers 2411.03699, arXiv.org, revised Jan 2025.
• Gabriel Rodriguez-Rondon & Jean-Marie Dufour, 2024. "MSTest: An R-Package for Testing Markov Switching Models," Papers 2411.08188, arXiv.org.
• Kranz, Sebastian, 2024. "From Replications to Revelations: Heteroskedasticity-Robust Inference," MPRA Paper 122724, University Library of Munich, Germany.
• Wenchao Xu & Xinyu Zhang, 2024. "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers 2411.09258, arXiv.org.