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Report NEP-ETS-2019-08-19
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:
- Martin Magris, 2019, "A Vine-copula extension for the HAR model," Papers, arXiv.org, number 1907.08522, Jul.
- Yilanci, Veli, 2019, "A Residual-Based Cointegration test with a Fourier Approximation," MPRA Paper, University Library of Munich, Germany, number 95395, Jul.
- Mateusz Buczyński & Marcin Chlebus, 2019, "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-12.