Report NEP-ETS-2019-09-09

This 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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Stéphane Lhuissier, 2019. "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers 726, Banque de France.
• Du Nguyen, 2019. "Vector Autoregressive Moving Average Model with Scalar Moving Average," Papers 1909.00386, arXiv.org.
• Yixiao Li & Gloria Lin & Thomas Lau & Ruochen Zeng, 2019. "A Review of Changepoint Detection Models," Papers 1908.07136, arXiv.org.
• Tore Selland Kleppe & Roman Liesenfeld & Guilherme Valle Moura & Atle Oglend, 2019. "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Papers 1908.07798, arXiv.org.
• Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
• Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.