Report NEP-ETS-2021-12-06

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:

• Donggyu Kim, 2021. "Exponential GARCH-Ito Volatility Models," Papers 2111.04267, arXiv.org.
• Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
• Jeronymo Marcondes Pinto & Jennifer L. Castle, 2021. "A machine learning dynamic switching approach to forecasting when there are structural breaks," Economics Series Working Papers 950 JEL classification: C, University of Oxford, Department of Economics.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2021-502, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
• Sattarhoff, Cristina & Lux, Thomas, 2021. "Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatilities," Economics Working Papers 2021-02, Christian-Albrechts-University of Kiel, Department of Economics.
• Sayani Gupta & Rob J Hyndman & Dianne Cook, 2021. "Detecting Distributional Differences between Temporal Granularities for Exploratory Time Series Analysis," Monash Econometrics and Business Statistics Working Papers 20/21, Monash University, Department of Econometrics and Business Statistics.