Report NEP-ETS-2019-10-07

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:

• Karina Arias-Calluari & Morteza. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin, 2019, "Stationarity of the detrended price return in stock markets," Papers, arXiv.org, number 1910.01034, Oct, revised Aug 2020.
• Piotr Zwiernik & Majid M. Al-Sadoon, 2019, "The Identification Problem for Linear Rational Expectations Models," Working Papers, Barcelona School of Economics, number 1114, Sep.
• Juan Manuel Julio-Román, 2019, "Estimating the Exchange Rate Pass-Through: A Time-Varying Vector Auto-Regression with Residual Stochastic Volatility Approach," Borradores de Economia, Banco de la Republica de Colombia, number 1093, Oct, DOI: 10.32468/be.1093.pdf?sequence=11&is.
• Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2019, "A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-51, Sep.
• Yi Huang & Ishanu Chattopadhyay, 2019, "Data Smashing 2.0: Sequence Likelihood (SL) Divergence For Fast Time Series Comparison," Papers, arXiv.org, number 1909.12243, Sep, revised Oct 2019.
• Aitor Muguruza, 2019, "Not so Particular about Calibration: Smile Problem Resolved," Papers, arXiv.org, number 1909.13366, Sep.
• Naoki Awaya & Yasuhiro Omori, 2019, "Particle Rolling MCMC," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1126, Sep.
• Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo, 2019, "A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics," Papers, arXiv.org, number 1910.01407, Oct, revised Sep 2020.
• Peter Carr & Liuren Wu & Zhibai Zhang, 2019, "Using Machine Learning to Predict Realized Variance," Papers, arXiv.org, number 1909.10035, Sep.

Report NEP-ETS-2019-10-07

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: