Report NEP-ETS-2020-02-03

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:

• Chainarong Amornbunchornvej & Elena Zheleva & Tanya Y. Berger-Wolf, 2019. "Variable-lag Granger Causality for Time Series Analysis," Papers 1912.10829, arXiv.org.
• Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020. "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers 3/20, Monash University, Department of Econometrics and Business Statistics.
• Schlösser, Alexander, 2020. "Forecasting industrial production in Germany: The predictive power of leading indicators," Ruhr Economic Papers 838, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
• Thanasis Stengos & Theodore Panagiotidis & Orestis Vravosinos, 2020. "A principal component-guided sparse regression approach for the determination of bitcoin returns," Working Papers 2001, University of Guelph, Department of Economics and Finance.
• Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
• Ibrahim, Omar, 2019. "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper 98091, University Library of Munich, Germany.
• Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis," Papers 2001.03935, arXiv.org.
• Hajivassiliou, Vassilis, 2019. "Switching regressions with imperfect regime classification information: theory and applications," LSE Research Online Documents on Economics 103119, London School of Economics and Political Science, LSE Library.
• Jaqueson K. Galimberti, 2020. "Information weighting under least squares adaptive learning," Working Papers 2020-04, Auckland University of Technology, Department of Economics.
• Collard, Fabrice & Dellas, Harris & Angeletos, George-Marios, 2020. "Business Cycle Anatomy," TSE Working Papers 20-1065, Toulouse School of Economics (TSE).
• Ulrich K. Müller & James H. Stock & Mark W. Watson, 2019. "An Econometric Model of International Long-run Growth Dynamics," NBER Working Papers 26593, National Bureau of Economic Research, Inc.