Report NEP-ETS-2025-02-03

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:

• Yuying Sun & Feng Chen & Jiti Gao, 2025. "Model Averaging for Time-Varying Vector Autoregressions," Monash Econometrics and Business Statistics Working Papers 1/25, Monash University, Department of Econometrics and Business Statistics.
• Li, Chenxing & Yang, Qiao, 2025. "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper 123200, University Library of Munich, Germany.
• Pitarakis, Jean-Yves, 2025. "Detecting sparse cointegration," UC3M Working papers. Economics 45708, Universidad Carlos III de Madrid. Departamento de Economía.
• ALAMI CHENTOUFI, Reda, 2024. "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper 123283, University Library of Munich, Germany.
• Qianli Zhao & Chao Wang & Richard Gerlach & Giuseppe Storti & Lingxiang Zhang, 2024. "Autoencoder Enhanced Realised GARCH on Volatility Forecasting," Papers 2411.17136, arXiv.org.
• Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org.