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Report NEP-ETS-2021-02-15
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:
- Tommaso Proietti, 2020, "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper, Tor Vergata University, CEIS, number 492, Jun, revised 17 Jun 2020.
- Item repec:hal:wpaper:hal-01943883 is not listed on IDEAS anymore
- Umberto Triacca & Olivier Damette & Alessandro Giovannelli, 2020, "A Test of Sufficient Condition for Infinite-step Granger Noncausality in Infinite Order Vector Autoregressive Process," CEIS Research Paper, Tor Vergata University, CEIS, number 496, Jun, revised 18 Jun 2020.
- Ni Zhan & Yijia Sun & Aman Jakhar & He Liu, 2021, "Graphical Models for Financial Time Series and Portfolio Selection," Papers, arXiv.org, number 2101.09214, Jan.
- Xiaodong Wang & Fushing Hsieh, 2021, "Unraveling S&P500 stock volatility and networks -- An encoding-and-decoding approach," Papers, arXiv.org, number 2101.09395, Jan, revised Oct 2021.
- Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020, "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 415, Dec.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2020, "On an integer-valued stochastic intensity model for time series of counts," MPRA Paper, University Library of Munich, Germany, number 105406, Jan.
- Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020, "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 417, Dec.
- Olalude, Gbenga Adelekan & Olayinka, Hammed Abiola & Ankeli, Uchechi Constance, 2020, "Modelling and forecasting inflation rate in Nigeria using ARIMA models," MPRA Paper, University Library of Munich, Germany, number 105342, revised Dec 2020.
- Tommaso Proietti & Alessandro Giovannelli, 2020, "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 482, May, revised 12 May 2020.
- Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020, "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 416, Dec.
- Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020, "Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 489, May, revised 30 May 2020.