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Report NEP-ETS-2019-07-22
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:
- Dan Li & Adam Clements & Christopher Drovandi, 2019, "Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo," Papers, arXiv.org, number 1906.03828, Jun, revised Mar 2020.
- Feiyu Jiang & Dong Li & Ke Zhu, 2019, "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers, arXiv.org, number 1907.04147, Jul, revised Oct 2020.
- Xinyu Song, 2019, "Large Volatility Matrix Prediction with High-Frequency Data," Papers, arXiv.org, number 1907.01196, Jul, revised Sep 2019.
- Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn, 2019, "A Statistical Recurrent Stochastic Volatility Model for Stock Markets," Papers, arXiv.org, number 1906.02884, Jun, revised Jan 2022.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019, "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-15.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019, "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2019-14.
- Z. Keskin & T. Aste, 2019, "Information-theoretic measures for non-linear causality detection: application to social media sentiment and cryptocurrency prices," Papers, arXiv.org, number 1906.05740, Jun, revised Jun 2019.