Report NEP-ETS-2020-09-21

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:

• Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020. "A Robust Score-Driven Filter for Multivariate Time Series," Papers 2009.01517, arXiv.org, revised Aug 2022.
• Carlo Campajola & Fabrizio Lillo & Piero Mazzarisi & Daniele Tantari, 2020. "On the equivalence between the Kinetic Ising Model and discrete autoregressive processes," Papers 2008.10666, arXiv.org, revised Feb 2021.
• Yicong Lin & Hanno Reuvers, 2020. "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers 2009.02262, arXiv.org, revised Dec 2021.
• Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
• Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
• Marius Lux & Wolfgang Karl Hardle & Stefan Lessmann, 2020. "Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid," Papers 2009.06910, arXiv.org.
• Asim Kumer Dey & Toufiqul Haq & Kumer Das & Irina Panovska, 2020. "Quantifying the impact of COVID-19 on the US stock market: An analysis from multi-source information," Papers 2008.10885, arXiv.org, revised Oct 2020.