Report NEP-ETS-2021-11-15

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ETS

The following items were announced in this report:

• Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
• Xuexin WANG, 2021. "Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
• Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah, 2021. "US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach," CESifo Working Paper Series 9386, CESifo.