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Report NEP-ETS-2020-01-27
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:
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020, "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers, Federal Reserve Bank of Cleveland, number 20-02R, Jan, revised 22 Sep 2020, DOI: 10.26509/frbc-wp-202002r.
- Ángel Estrada & Luis Guirola & Iván Kataryniuk & Jaime Martínez-Martín, 2020, "The use of BVARs in the analysis of emerging economies," Occasional Papers, Banco de España, number 2001, Jan.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020, "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers, arXiv.org, number 2001.04867, Jan, revised Jan 2022.
- Xuan-Hong Dang & Syed Yousaf Shah & Petros Zerfos, 2019, ""The Squawk Bot": Joint Learning of Time Series and Text Data Modalities for Automated Financial Information Filtering," Papers, arXiv.org, number 1912.10858, Dec.
- Vugar Rahimov & Nijat Guliyev & Vugar Ahmadov, 2020, "Modeling Azerbaijan’s Inflation and Output Using a Factor-Augmented Vector Autoregressive (FAVAR) Model," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 01-2020, Jan.
- Theplib, Krit & Sethapramote, Yuthana & Jiranyakul, Komain, 2020, "Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand," MPRA Paper, University Library of Munich, Germany, number 98094, Jan.
- Shahbaz, Muhammad & Haouas, Ilham & Sohag, Kazi & Ozturk, Ilhan, 2020, "The Financial Development-Environmental Degradation Nexus in the United Arab Emirates: The Importance of Growth, Globalization and Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 98052, Jan, revised 08 Jan 2020.
- Tanweer Akram & Anupam Das, 2020, "The Empirics of Canadian Government Securities Yields," Economics Working Paper Archive, Levy Economics Institute, number wp_944, Jan.
- De Pace, Pierangelo & Rao, Jayant, 2020, "Comovement and Instability in Cryptocurrency Markets," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1012, Jan, revised 14 Jan 2020.
- Cláudia Duarte & José R. Maria & Sharmin Sazedj, 2019, "Trends and cycles under changing economic conditions," Working Papers, Banco de Portugal, Economics and Research Department, number w201918.
- Claudio, João C. & Heinisch, Katja & Holtemöller, Oliver, 2019, "Nowcasting East German GDP growth: A MIDAS approach," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 24/2019.
- Xinyi Li & Yinchuan Li & Hongyang Yang & Liuqing Yang & Xiao-Yang Liu, 2019, "DP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using Financial News," Papers, arXiv.org, number 1912.10806, Dec.
- Andriansyah, Andriansyah & Messinis, George, 2019, "Stock Prices, Exchange Rates and Portfolio Equity Flows: A Toda-Yamamoto Panel Causality Test," MPRA Paper, University Library of Munich, Germany, number 97992, Feb.
- Hélder Sebastião & Pedro Godinho, 2020, "The Relationship Between USD/EUR Official Exchange Rates And Implied Exchange Rates From The Bitcoin Market," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2020-02, Feb.
- Szilard Benk & Max Gillman, 2019, "Granger Predictability of Oil Prices after the Great Recession," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp650, Dec.