Report NEP-ETS-2015-12-01

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Mark Podolskij & Nopporn Thamrongrat, 2015. "A weak limit theorem for numerical approximation of Brownian semi-stationary processes," CREATES Research Papers 2015-53, Department of Economics and Business Economics, Aarhus University.
• Paulo Rocha & Frank Raischel & Jo~ao P. Boto & Pedro G. Lind, 2015. "Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations," Papers 1510.07280, arXiv.org.
• Kapetanious, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Bank of England working papers 567, Bank of England.
• Giuseppe Cavaliere & Iliyan Georgiev & A.M. Robert Taylor, 2015. "Sieve-based inference for infinite-variance linear processes," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
• Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
• Mark J. Jensen, 2015. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper 2015-12, Federal Reserve Bank of Atlanta.
• Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
• Deniz Dilan Karaman Örsal & Antonia Arsova, 2015. "Meta-analytic cointegrating rank tests for dependent panels," Working Paper Series in Economics 349, University of Lüneburg, Institute of Economics.
• Marcin Faldzinski & Michal Bernard Pietrzak, "undated". "The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations," Working Papers 164/2015, Institute of Economic Research, revised Nov 2015.
• Naoto Kunitomo & Daisuke Kurisu, 2015. "On Effects of Jump and Noise in High-Frequency Financial Econometrics," CIRJE F-Series CIRJE-F-996, CIRJE, Faculty of Economics, University of Tokyo.
• Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
• Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
• Jungwoo kim & Joocheol kim, 2015. "Regime shift model by three types of distribution considering a heavy tail and dependence," Working papers 2015rwp-86, Yonsei University, Yonsei Economics Research Institute.