Report NEP-ETS-2021-01-18

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:

• Knorre, Fabian & Wagner, Martin & Grupe, Maximilian, 2020. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," IHS Working Paper Series 27, Institute for Advanced Studies.
• Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020. "Smooth Robust Multi-Horizon Forecasts," Working Papers 2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
• Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
• Paul Ho & Thomas A. Lubik & Christian Matthes, 2020. "How To Go Viral: A COVID-19 Model with Endogenously Time-Varying Parameters," Working Paper 20-10, Federal Reserve Bank of Richmond.