Report NEP-ETS-2020-01-27

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:

• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
• Ángel Estrada & Luis Guirola & Iván Kataryniuk & Jaime Martínez-Martín, 2020. "The use of BVARs in the analysis of emerging economies," Occasional Papers 2001, Banco de España.
• Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
• Xuan-Hong Dang & Syed Yousaf Shah & Petros Zerfos, 2019. ""The Squawk Bot": Joint Learning of Time Series and Text Data Modalities for Automated Financial Information Filtering," Papers 1912.10858, arXiv.org.
• Vugar Rahimov & Nijat Guliyev & Vugar Ahmadov, 2020. "Modeling Azerbaijan’s Inflation and Output Using a Factor-Augmented Vector Autoregressive (FAVAR) Model," IHEID Working Papers 01-2020, Economics Section, The Graduate Institute of International Studies.
• Theplib, Krit & Sethapramote, Yuthana & Jiranyakul, Komain, 2020. "Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand," MPRA Paper 98094, University Library of Munich, Germany.
• Shahbaz, Muhammad & Haouas, Ilham & Sohag, Kazi & Ozturk, Ilhan, 2020. "The Financial Development-Environmental Degradation Nexus in the United Arab Emirates: The Importance of Growth, Globalization and Structural Breaks," MPRA Paper 98052, University Library of Munich, Germany, revised 08 Jan 2020.
• Tanweer Akram & Anupam Das, 2020. "The Empirics of Canadian Government Securities Yields," Economics Working Paper Archive wp_944, Levy Economics Institute.
• De Pace, Pierangelo & Rao, Jayant, 2020. "Comovement and Instability in Cryptocurrency Markets," Economics Department, Working Paper Series 1012, Economics Department, Pomona College, revised 14 Jan 2020.
• Cláudia Duarte & José R. Maria & Sharmin Sazedj, 2019. "Trends and cycles under changing economic conditions," Working Papers w201918, Banco de Portugal, Economics and Research Department.
• Claudio, João C. & Heinisch, Katja & Holtemöller, Oliver, 2019. "Nowcasting East German GDP growth: A MIDAS approach," IWH Discussion Papers 24/2019, Halle Institute for Economic Research (IWH).
• Xinyi Li & Yinchuan Li & Hongyang Yang & Liuqing Yang & Xiao-Yang Liu, 2019. "DP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using Financial News," Papers 1912.10806, arXiv.org.
• Andriansyah, Andriansyah & Messinis, George, 2019. "Stock Prices, Exchange Rates and Portfolio Equity Flows: A Toda-Yamamoto Panel Causality Test," MPRA Paper 97992, University Library of Munich, Germany.
• Hélder Sebastião & Pedro Godinho, 2020. "The Relationship Between USD/EUR Official Exchange Rates And Implied Exchange Rates From The Bitcoin Market," CeBER Working Papers 2020-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Szilard Benk & Max Gillman, 2019. "Granger Predictability of Oil Prices after the Great Recession," CERGE-EI Working Papers wp650, The Center for Economic Research and Graduate Education - Economics Institute, Prague.