Report NEP-ETS-2019-07-22

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were announced in this report:

• Dan Li & Adam Clements & Christopher Drovandi, 2019. "Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo," Papers 1906.03828, arXiv.org, revised Mar 2020.
• Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
• Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
• Trong-Nghia Nguyen & Minh-Ngoc Tran & David Gunawan & R. Kohn, 2019. "A Statistical Recurrent Stochastic Volatility Model for Stock Markets," Papers 1906.02884, arXiv.org, revised Jan 2022.
• Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
• Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
• Z. Keskin & T. Aste, 2019. "Information-theoretic measures for non-linear causality detection: application to social media sentiment and cryptocurrency prices," Papers 1906.05740, arXiv.org, revised Jun 2019.