Report NEP-ETS-2020-04-06

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:

• Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020. "Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence," Economics and Statistics Working Papers 7-2020, Singapore Management University, School of Economics.
• Yuan, Huiling & Zhou, Yong & Zhang, Zhiyuan & Cui, Xiangyu, 2020. "Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility," SocArXiv vdsqf, Center for Open Science.
• Irena Barjav{s}i'c & Nino Antulov-Fantulin, 2020. "Time-varying volatility in Bitcoin market and information flow at minute-level frequency," Papers 2004.00550, arXiv.org, revised Jan 2021.
• Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series 8146, CESifo.
• Yuan, Huiling & Zhou, Yong & Xu, Lu & Sun, Yulei & Cui, Xiangyu, 2020. "A New Volatility Model: GQARCH-Ito Model," SocArXiv hkzdr, Center for Open Science.
• Eraslan, Sercan & Nöller, Marvin, 2020. "Recession probabilities falling from the STARs," Discussion Papers 08/2020, Deutsche Bundesbank.
• Arianna Agosto & Paolo Giudici, 2020. "A Poisson autoregressive model to understand COVID-19 contagion dynamics," DEM Working Papers Series 185, University of Pavia, Department of Economics and Management.
• Wolf, Elias & Mokinski, Frieder & Schüler, Yves, 2020. "On adjusting the one-sided Hodrick-Prescott filter," Discussion Papers 11/2020, Deutsche Bundesbank.