Report NEP-ETS-2020-08-17

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:

• Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.
• Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
• Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020. "Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR," MPRA Paper 102190, University Library of Munich, Germany, revised 02 Aug 2020.
• Christian Francq & Jean-Michel Zakoïan, 2020. "Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models," Working Papers hal-02898909, HAL.
• Ali Alichi & Hayk Avetisyan & Mr. Douglas Laxton & Shalva Mkhatrishvili & Armen Nurbekyan & Lusine Torosyan & Hou Wang, 2019. "Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis," IMF Working Papers 2019/035, International Monetary Fund.
• Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
• Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2020. "The economic drivers of volatility and uncertainty," Temi di discussione (Economic working papers) 1285, Bank of Italy, Economic Research and International Relations Area.
• Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
• Silva Lopes, Artur, 2020. "Revisiting income convergence with DF-Fourier tests: old evidence with a new test," MPRA Paper 102208, University Library of Munich, Germany.
• Bruno Damásio & João Nicolau, 2020. "Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown," Working Papers REM 2020/0136, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Timmermann, Allan & Qu, Ritong & Zhu, Yinchu, 2019. "Do Any Economists Have Superior Forecasting Skills?," CEPR Discussion Papers 14112, C.E.P.R. Discussion Papers.