Report NEP-ETS-2022-06-20

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:

• Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
• Wichert, Oliver, 2022. "Unit-Root tests in high-dimensional panels," Other publications TiSEM f926ab90-382b-4aa5-9532-8, Tilburg University, School of Economics and Management.
• Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2022. "When Do State-Dependent Local Projections Work?," Working Papers 2205, Federal Reserve Bank of Dallas.
• Reisenhofer, Rafael & Bayer, Xandro & Hautsch, Nikolaus, 2022. "HARNet: A convolutional neural network for realized volatility forecasting," CFS Working Paper Series 680, Center for Financial Studies (CFS).
• Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
• Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2022. "Why does Indirect Inference estimation produce less small sample bias than maximum likelihood? A note," Cardiff Economics Working Papers E2022/10, Cardiff University, Cardiff Business School, Economics Section.
• Agrippino, Silvia Miranda & Ricco, Giovanni, 2022. "Identification with external instruments in structural VARs," Bank of England working papers 973, Bank of England.