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Report NEP-ETS-2019-09-16
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:
- Peter C.B. Phillips & Zhentao Shi, 2019, "Boosting the Hodrick-Prescott Filter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2192, May.
- Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips, 2019, "Robust Tests for White Noise and Cross-Correlation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2194, Apr.
- Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019, "Moments-Based Spillovers across Gold and Oil Markets," Working Papers, University of Pretoria, Department of Economics, number 201966, Aug.
- Samuel Asante Gyamerah, 2019, "Estimating the volatility of Bitcoin using GARCH models," Papers, arXiv.org, number 1909.04903, Sep, revised Oct 2019.
- Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019, "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers, arXiv.org, number 1909.04853, Sep.
- Jaros{l}aw Klamut & Tomasz Gubiec, 2019, "Continuous Time Random Walk with correlated waiting times. The crucial role of inter-trade times in volatility clustering," Papers, arXiv.org, number 1909.04986, Sep, revised Apr 2020.