Report NEP-ETS-2019-09-16

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:

• Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting the Hodrick-Prescott Filter," Cowles Foundation Discussion Papers 2192, Cowles Foundation for Research in Economics, Yale University.
• Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips, 2019. "Robust Tests for White Noise and Cross-Correlation," Cowles Foundation Discussion Papers 2194, Cowles Foundation for Research in Economics, Yale University.
• Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019. "Moments-Based Spillovers across Gold and Oil Markets," Working Papers 201966, University of Pretoria, Department of Economics.
• Samuel Asante Gyamerah, 2019. "Estimating the volatility of Bitcoin using GARCH models," Papers 1909.04903, arXiv.org, revised Oct 2019.
• Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019. "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers 1909.04853, arXiv.org.
• Jaros{l}aw Klamut & Tomasz Gubiec, 2019. "Continuous Time Random Walk with correlated waiting times. The crucial role of inter-trade times in volatility clustering," Papers 1909.04986, arXiv.org, revised Apr 2020.