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Report NEP-ETS-2015-06-13
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, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- esposito, francesco paolo & cummins, mark, 2015, "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper, University Library of Munich, Germany, number 64987, May.
- Christopher G. Gibbs, 2015, "Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation," Discussion Papers, School of Economics, The University of New South Wales, number 2015-09, Apr.
- Naoto Kunitomo & Seisho Sato, 2015, "Trend, Seasonality and Economic Time Series:the Nonstationary Errors-in-variables Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-977, Jun.
- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015, "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-21, Jun.
- W. Robert Reed, 2015, "Testing For Unit Roots With Cointegrated Data," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/11, May.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2015, "Nonstationary ARCH and GARCH with t-distributed Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-27, Apr.
- Joshua C.C. Chan & Eric Eisenstat, 2015, "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-19, Jun.
- Joshua C.C. Chan & Angelia L. Grant, 2015, "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-20, Jun.
- Dan Xu & Christian Beck, 2015, "Transition from lognormal to chi-square superstatistics for financial time series," Papers, arXiv.org, number 1506.01660, Jun, revised Mar 2016.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1507, Jun.
- Violetta Dalla & Javier Hidalgo, 2015, "Testing for Breaks in Regression Models with Dependent Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /2015/584, Mar.
- Bent Jesper Christensen & Rasmus T. Varneskov, 2015, "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-25, May.
- Ulrich Hounyo & Rasmus T. Varneskov, 2015, "A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-26, May.