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Report NEP-ETS-2025-03-03
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Matteo Barigozzi & Luca Trapin, 2025. "Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm," Papers 2502.04112, arXiv.org.
- Yaming Chang, 2025. "Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities," Papers 2502.02695, arXiv.org, revised Feb 2025.
- Blazsek, Szabolcs & Ayala, Astrid, 2025. "Improved gradient scaling for score-driven filters with an application to stock market volatility," UC3M Working papers. Economics 45978, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jean-Yves Pitarakis, 2025. "Serial-Dependence and Persistence Robust Inference in Predictive Regressions," Papers 2502.00475, arXiv.org.