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Report NEP-ETS-2020-04-06
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:
- Wenxin Huang & Sainan Jin & Peter C.B. Phillips & Liangjun Su, 2020, "Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2020, Mar.
- Yuan, Huiling & Zhou, Yong & Zhang, Zhiyuan & Cui, Xiangyu, 2020, "Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility," SocArXiv, Center for Open Science, number vdsqf, Mar, DOI: 10.31219/osf.io/vdsqf.
- Irena Barjav{s}i'c & Nino Antulov-Fantulin, 2020, "Time-varying volatility in Bitcoin market and information flow at minute-level frequency," Papers, arXiv.org, number 2004.00550, Apr, revised Jan 2021.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020, "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series, CESifo, number 8146.
- Yuan, Huiling & Zhou, Yong & Xu, Lu & Sun, Yulei & Cui, Xiangyu, 2020, "A New Volatility Model: GQARCH-Ito Model," SocArXiv, Center for Open Science, number hkzdr, Mar, DOI: 10.31219/osf.io/hkzdr.
- Eraslan, Sercan & Nöller, Marvin, 2020, "Recession probabilities falling from the STARs," Discussion Papers, Deutsche Bundesbank, number 08/2020.
- Arianna Agosto & Paolo Giudici, 2020, "A Poisson autoregressive model to understand COVID-19 contagion dynamics," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 185, Mar.
- Wolf, Elias & Mokinski, Frieder & Schüler, Yves, 2020, "On adjusting the one-sided Hodrick-Prescott filter," Discussion Papers, Deutsche Bundesbank, number 11/2020.