Report NEP-ETS-2016-12-04
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-ETS
The following items were announced in this report:
- Linton, O. & Wu, J., 2016. "A coupled component GARCH model for intraday and overnight volatility," Cambridge Working Papers in Economics 1671, Faculty of Economics, University of Cambridge.
- Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
- Stefan Birr & Holger Dette & Marc Hallin & Tobias Kley & Stanislav Volgushev, 2016. "On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities," Working Papers ECARES ECARES 2016-38, ULB -- Universite Libre de Bruxelles.
- Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016. "Network Quantile Autoregression," SFB 649 Discussion Papers SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.