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Report NEP-ETS-2020-05-11
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:
- Oscar Claveria & Enric Monte & Salvador Torra, 2020, "“Spectral analysis of business and consumer survey data”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 2012002, May, revised May 2020.
- Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020, "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers, arXiv.org, number 2005.01160, May, revised May 2021.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020, "An Introduction To Bootstrap Theory In Time Series Econometrics," Discussion Papers, University of Copenhagen. Department of Economics, number 20-02, Dec.
- Karlsson, Sune & Mazur, Stepan, 2020, "Flexible Fat-tailed Vector Autoregression," Working Papers, Örebro University, School of Business, number 2020:5, Apr.
- Mengya Liu & Fukan Zhu & Ke Zhu, 2020, "Multi-frequency-band tests for white noise under heteroskedasticity," Papers, arXiv.org, number 2004.09161, Apr.
- Yeonwoo Rho & Yun Liu & Hie Joo Ahn, 2020, "Revealing Cluster Structures Based on Mixed Sampling Frequencies," Papers, arXiv.org, number 2004.09770, Apr, revised Feb 2021.
- Eric Hillebrand & Manuel Lukas & Wei Wei, 2020, "Bagging Weak Predictors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/20.
- Poncela, Pilar & Ruiz, Esther, 2020, "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers, Kiel Institute for the World Economy, number 2020-7.
- Gaetano Perone, 2020, "An ARIMA model to forecast the spread and the final size of COVID-2019 epidemic in Italy," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 20/07, Apr.
- Philippe Goulet Coulombe & Maximilian Gobel, 2020, "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Papers, arXiv.org, number 2005.02535, May, revised Mar 2021.
- Arjun Prakash & Nick James & Max Menzies & Gilad Francis, 2020, "Structural clustering of volatility regimes for dynamic trading strategies," Papers, arXiv.org, number 2004.09963, Apr, revised Nov 2021.
- Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2020, "Forecasting the US Dollar-Korean Won Exchange Rate: A Factor-Augmented Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2020-02, May.
- Pietro Murialdo & Linda Ponta & Anna Carbone, 2020, "Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach," Papers, arXiv.org, number 2004.14736, Apr.
- Kim, Jihyun & Meddahi, Nour, 2020, "Volatility Regressions with Fat Tails," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1097, May.
- Roy Cerqueti & Massimiliano Giacalone & Raffaele Mattera, 2020, "Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling," Papers, arXiv.org, number 2004.11674, Apr.
- Dimitris Korobilis & Davide Pettenuzzo, 2020, "Machine Learning Econometrics: Bayesian algorithms and methods," Papers, arXiv.org, number 2004.11486, Apr.
- Barbara Rossi, 2019, "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1711, Nov, revised Jul 2021.