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Report NEP-ETS-2015-08-19
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:
- Wei Wei & Denis Pelletier, 2015, "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-34, Aug.
- Jie Ding & Vahid Tarokh & Yuhong Yang, 2015, "Bridging AIC and BIC: a new criterion for autoregression," Papers, arXiv.org, number 1508.02473, Aug, revised Aug 2016.
- Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015, "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10763, Aug.
- Barend Abeln & Jan P.A.M. Jacobs, 2015, "Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-25, Jul.
- Joshua C.C. Chan & Eric Eisenstat, 2015, "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-32, Aug.
- Amélie Charles & Olivier Darné & Fabien Tripier, 2015, "Are unit root tests useful in the debate over the (non)stationarity of hours worked?," Post-Print, HAL, number hal-01101618, DOI: 10.1017/S1365100513000321.
- Guillaume Chevillon, 2013, "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers, HAL, number hal-00914830, Nov.
- Bernard Candelpergher & Michel Miniconi & Florian Pelgrin, 2015, "Long-memory process and aggregation of AR(1) stochastic processes: A new characterization," Working Papers, HAL, number hal-01166527, Aug.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015, "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers, HAL, number halshs-01133751, Mar.
- Shin Kanaya & Dennis Kristensen, 2015, "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/15, Mar.
- Raffaella Giacomini & Toru Kitagawa, 2014, "Inference about Non-Identi?ed SVARs," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP45/14, Nov.