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Report NEP-ETS-2020-12-07
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:
- Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020, "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 137, Nov.
- Xiaobin Liu & Shuping Shi & Jun Yu, 2020, "Persistent and Rough Volatility," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 23-2020, Nov.
- Ding, Y., 2020, "Diffusion Limits of Real-Time GARCH," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 20112, Nov.
- L. Bauwens & E. Otranto, 2020, "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 202007.