Report NEP-ETS-2020-11-16

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:

• Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• T. -N. Nguyen & M. -N. Tran & R. Kohn, 2020. "Recurrent Conditional Heteroskedasticity," Papers 2010.13061, arXiv.org, revised Jan 2022.
• Perone, G., 2020. "Comparison of ARIMA, ETS, NNAR and hybrid models to forecast the second wave of COVID-19 hospitalizations in Italy," Health, Econometrics and Data Group (HEDG) Working Papers 20/18, HEDG, c/o Department of Economics, University of York.
• Alexander Wehrli & Didier Sornette, 2020. "Classification of flash crashes using the Hawkes(p,q) framework," Swiss Finance Institute Research Paper Series 20-92, Swiss Finance Institute.
• Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
• Blazsek, Szabolcs & Licht, Adrian, 2020. "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics 31339, Universidad Carlos III de Madrid. Departamento de Economía.
• Tae-Hwy Lee & Ekaterina Seregina, 2020. "Learning from Forecast Errors: A New Approach to Forecast Combination," Working Papers 202024, University of California at Riverside, Department of Economics.
• Elizabeth Fons & Paula Dawson & Xiao-jun Zeng & John Keane & Alexandros Iosifidis, 2020. "Evaluating data augmentation for financial time series classification," Papers 2010.15111, arXiv.org.
• Kleyton da Costa & Felipe Leite Coelho da Silva & Josiane da Silva Cordeiro Coelho & Andr'e de Melo Modenesi, 2020. "A Systematic Comparison of Forecasting for Gross Domestic Product in an Emergent Economy," Papers 2010.13259, arXiv.org, revised Mar 2022.