Report NEP-ETS-2022-10-24

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:

• St'ephane Cr'epey & Lehdili Noureddine & Nisrine Madhar & Maud Thomas, 2022. "Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks," Papers 2209.11686, arXiv.org, revised Oct 2022.
• Leonardo Marinho, 2022. "Causal Impulse Responses for Time Series," Working Papers Series 570, Central Bank of Brazil, Research Department.
• Yaya, OlaOluwa A & Lukman, Adewale F. & Vo, Xuan Vinh, 2022. "Persistence and Volatility Spillovers of Bitcoin price to Gold and Silver prices," MPRA Paper 114521, University Library of Munich, Germany.
• Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Ayobami O. & Alobaloke, Kafayat & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," MPRA Paper 114689, University Library of Munich, Germany.
• Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2022. "Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," CESifo Working Paper Series 9950, CESifo.
• B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations," Papers 2209.10128, arXiv.org, revised Apr 2024.
• Ruochen Xiao & Yingying Feng & Lei Yan & Yihan Ma, 2022. "Predict stock prices with ARIMA and LSTM," Papers 2209.02407, arXiv.org.