Report NEP-ETS-2020-06-29

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:

• Fabrizio Iacone & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2020. "Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks," Working Paper 1431, Economics Department, Queen's University.
• Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de Estadística.
• Bao-Gen Li & Dian-Yi Ling & Zu-Guo Yu, 2020. "Multifractal temporally weighted detrended partial cross-correlation analysis to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors," Papers 2006.09154, arXiv.org.
• Nicklas Werge & Olivier Wintenberger, 2020. "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers 2006.02077, arXiv.org, revised Jan 2021.
• Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020. "Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis," CIRANO Working Papers 2020s-32, CIRANO.
• Li, S. & Linton, O., 2020. "When will the Covid-19 pandemic peak?," Cambridge Working Papers in Economics 2025, Faculty of Economics, University of Cambridge.
• Jie Fang & Jianwu Lin, 2020. "Prior knowledge distillation based on financial time series," Papers 2006.09247, arXiv.org, revised Nov 2020.
• Juan Carlos Escanciano, 2020. "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers 2005.09951, arXiv.org.