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Report NEP-ETS-2019-03-18
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin 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:
- Marina Friedrich & Eric Beutner & Hanno Reuvers & Stephan Smeekes & Jean-Pierre Urbain & Whitney Bader & Bruno Franco & Bernard Lejeune & Emmanuel Mahieu, 2019, "A statistical analysis of time trends in atmospheric ethane," Papers, arXiv.org, number 1903.05403, Mar, revised Jun 2020.
- Ahmed, M. F. & Satchell, S, 2019, "Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local Explosivity," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1923, Mar.
- Voisin, Elisa & Hecq, Alain, 2019, "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper, University Library of Munich, Germany, number 92734, Mar.
- Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019, "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193631.
- Iiboshi, Hirokuni & Iwata, Yasuharu & Kajita, Yuto & Soma, Naoto, 2019, "Time-varying Fiscal Multipliers Identified by Systematic Component: A Bayesian Approach to TVP-SVAR model," MPRA Paper, University Library of Munich, Germany, number 92631, Mar.
- Mawuli Segnon & Stelios Bekiros, 2019, "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7919, Mar.
- Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019, "Asymptotic F Tests under Possibly Weak Identification," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-03-12, Mar.
- Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019, "A cointegration model of money and wealth," CFS Working Paper Series, Center for Financial Studies (CFS), number 619.
- Vivek Sharma & Edgar Silgado-Gómez, 2019, "Sovereign Spread Volatility and Banking Sector," CEIS Research Paper, Tor Vergata University, CEIS, number 454, Mar, revised 08 Mar 2019.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019, "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series, CESifo, number 7537.
- María Gil & Danilo Leiva-Leon & Javier J. Pérez & Alberto Urtasun, 2019, "An application of dynamic factor models to nowcast regional economic activity in Spain," Occasional Papers, Banco de España, number 1904, Mar.
- Emenike, Kalu O., 2018, "Stock Market Volatility Clustering and Asymmetry in Africa: A Post Global Financial Crisis Evidence," MPRA Paper, University Library of Munich, Germany, number 91653, Oct.
- Fischer, Henning & Stolper, Oscar, 2019, "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers, Deutsche Bundesbank, number 08/2019.
- Andreas Joseph, 2019, "Parametric inference with universal function approximators," Bank of England working papers, Bank of England, number 784, Mar.
- Alexander James & Yaser S. Abu-Mostafa & Xiao Qiao, 2019, "Nowcasting Recessions using the SVM Machine Learning Algorithm," Papers, arXiv.org, number 1903.03202, Feb, revised Jun 2019.
- Bernardi, Mauro & Costola, Michele, 2019, "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 244, DOI: 10.2139/ssrn.3342240.