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Report NEP-ETS-2020-02-03
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:
- Chainarong Amornbunchornvej & Elena Zheleva & Tanya Y. Berger-Wolf, 2019, "Variable-lag Granger Causality for Time Series Analysis," Papers, arXiv.org, number 1912.10829, Dec.
- Yoonseok Lee & Yulong Wang, 2020, "Inference in Threshold Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 223, Jan.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020, "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/20.
- Schlösser, Alexander, 2020, "Forecasting industrial production in Germany: The predictive power of leading indicators," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 838, DOI: 10.4419/86788971.
- Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019, "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series, CESifo, number 8000.
- Thanasis Stengos & Theodore Panagiotidis & Orestis Vravosinos, 2020, "A principal component-guided sparse regression approach for the determination of bitcoin returns," Working Papers, University of Guelph, Department of Economics and Finance, number 2001.
- Budnik, Katarzyna & Rünstler, Gerhard, 2020, "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series, European Central Bank, number 2353, Jan.
- Ibrahim, Omar, 2019, "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper, University Library of Munich, Germany, number 98091, Dec.
- Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020, "A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis," Papers, arXiv.org, number 2001.03935, Jan.
- Hajivassiliou, Vassilis, 2019, "Switching regressions with imperfect regime classification information: theory and applications," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103119, Nov.
- Jaqueson K. Galimberti, 2020, "Information weighting under least squares adaptive learning," Working Papers, Auckland University of Technology, Department of Economics, number 2020-04, Apr.
- Collard, Fabrice & Dellas, Harris & Angeletos, George-Marios, 2020, "Business Cycle Anatomy," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1065, Jan.
- Ulrich K. Müller & James H. Stock & Mark W. Watson, 2019, "An Econometric Model of International Long-run Growth Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 26593, Dec.