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Report NEP-ETS-2015-08-30
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:
- Yunus Emre Ergemen & Carlos Velasco, 2015, "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-35, Aug.
- Dieter Hendricks & Tim Gebbie & Diane Wilcox, 2015, "Detecting intraday financial market states using temporal clustering," Papers, arXiv.org, number 1508.04900, Aug, revised Feb 2017.
- Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014, "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers, HAL, number halshs-01078158, Oct.
- Yoichi Arai, 2015, "Testing for Linearity in Regressions with I(1) Processes," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 15-11, Aug.
- Murasawa, Yasutomo, 2015, "The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series," MPRA Paper, University Library of Munich, Germany, number 66319, Aug.
- Cláudia Duarte, 2015, "Covariate-augmented unit root tests with mixed-frequency data," Working Papers, Banco de Portugal, Economics and Research Department, number w201507.
- Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015, "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance, University of St. Gallen, School of Finance, number 1513, Jul.
- Javier Hualde & Fabrizio Iacone, 2015, "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers, Department of Economics, University of York, number 15/14, Aug.