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Report NEP-ETS-2019-05-06
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:
- Gregor Zens & Maximilian Bock, 2019, "A Factor-Augmented Markov Switching (FAMS) Model," Papers, arXiv.org, number 1904.13194, Apr, revised May 2019.
- Peter C. B. Phillips & Zhentao Shi, 2019, "Boosting: Why You Can Use the HP Filter," Papers, arXiv.org, number 1905.00175, Apr, revised Nov 2020.
- George Kapetanios & Stephen Millard & Katerina Petrova & Simon Price, 2019, "Time-varying cointegration and the UK great ratios," Bank of England working papers, Bank of England, number 789, Apr.
- A Clements & D Preve, 2019, "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series, National Centre for Econometric Research, number 120, Apr.
- A Clements & M Doolan, 2018, "Combining Multivariate Volatility Forecasts using Weighted Losses," NCER Working Paper Series, National Centre for Econometric Research, number 119, Dec.
- Guglielmo Maria Caporale & Daria Teterkina, 2019, "Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods," CESifo Working Paper Series, CESifo, number 7612.
- Suwanhirunkul, Suwijak & Masih, Mansur, 2018, "Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence," MPRA Paper, University Library of Munich, Germany, number 93542, Dec.
- Andr'es Garc'ia Medina & Graciela Gonz'alez-Far'ias, 2019, "Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies," Papers, arXiv.org, number 1905.00545, May.
- Bazhenov, Timofey & Fantazzini, Dean, 2019, "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 93544, Apr.
- Arturas Juodis & Yiannis Karavias, 2019, "Partially heterogeneous tests for Granger non-causality in panel data," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 59, Apr.
- Tetsuya Takaishi, 2019, "Rough volatility of Bitcoin," Papers, arXiv.org, number 1904.12346, Apr.
- Simon Freyaldenhoven, 2019, "A Generalized Factor Model with Local Factors," Working Papers, Federal Reserve Bank of Philadelphia, number 19-23, Apr, DOI: 10.21799/frbp.wp.2019.23.