Report NEP-ETS-2020-03-16

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:

• Francq, Christian & Zakoian, Jean-Michel, 2019. "Testing the existence of moments for GARCH processes," MPRA Paper 98892, University Library of Munich, Germany.
• Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2020. "Data Normalization for Bilinear Structures in High-Frequency Financial Time-series," Papers 2003.00598, arXiv.org, revised Jul 2020.
• Yoshimasa Uematsu & Takashi Yamagatay, 2020. "Estimation of Weak Factor Models," DSSR Discussion Papers 108, Graduate School of Economics and Management, Tohoku University.
• Dräger, Lena & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020. "The Long Memory of Equity Volatility and the Macroeconomy: International Evidence," Hannover Economic Papers (HEP) dp-667, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.