Report NEP-ETS-2024-05-20

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:

• Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.
• Paulo Parente & Richard J. Smith, 2024. "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers 08/24, Institute for Fiscal Studies.
• Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
• Abdulnasser Hatemi-J, 2024. "On the Asymmetric Volatility Connectedness," Papers 2404.12997, arXiv.org, revised May 2024.
• Mustafa R. K{i}l{i}nc{c} & Michael Massmann, 2024. "The modified conditional sum-of-squares estimator for fractionally integrated models," Papers 2404.12882, arXiv.org.