Report NEP-ETS-2019-05-06This 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.
The following items were announced in this report:
- Gregor Zens & Maximilian Bock, 2019. "A Factor-Augmented Markov Switching (FAMS) Model," Papers 1904.13194, arXiv.org, revised May 2019.
- Peter C. B. Phillips & Zhentao Shi, 2019. "Boosting: Why You Can Use the HP Filter," Papers 1905.00175, arXiv.org, revised Nov 2019.
- Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon, 2019. "Time-varying cointegration and the UK great ratios," Bank of England working papers 789, Bank of England.
- A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
- A Clements & M Doolan, 2018. "Combining Multivariate Volatility Forecasts using Weighted Losses," NCER Working Paper Series 119, National Centre for Econometric Research.
- Guglielmo Maria Caporale & Daria Teterkina, 2019. "Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods," CESifo Working Paper Series 7612, CESifo Group Munich.
- 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 93542, University Library of Munich, Germany.
- 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 1905.00545, arXiv.org.
- Bazhenov, Timofey & Fantazzini, Dean, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper 93544, University Library of Munich, Germany.
- Arturas Juodis & Yiannis Karavias, 2019. "Partially heterogeneous tests for Granger non-causality in panel data," Bank of Lithuania Working Paper Series 59, Bank of Lithuania.
- Tetsuya Takaishi, 2019. "Rough volatility of Bitcoin," Papers 1904.12346, arXiv.org.
- Freyaldenhoven, Simon, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.