Printed from https://ideas.repec.org/n/nep-ets/2019-09-09.html
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. 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:
- Stéphane Lhuissier, 2019, "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers, Banque de France, number 726.
- Du Nguyen, 2019, "Vector Autoregressive Moving Average Model with Scalar Moving Average," Papers, arXiv.org, number 1909.00386, Sep.
- Yixiao Li & Gloria Lin & Thomas Lau & Ruochen Zeng, 2019, "A Review of Changepoint Detection Models," Papers, arXiv.org, number 1908.07136, Aug.
- Tore Selland Kleppe & Roman Liesenfeld & Guilherme Valle Moura & Atle Oglend, 2019, "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Papers, arXiv.org, number 1908.07798, Aug.
- 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, University of Waikato, number 19/13, Aug.
- Peter Carr & Sander Willems, 2019, "A lognormal type stochastic volatility model with quadratic drift," Papers, arXiv.org, number 1908.07417, Aug.