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Report NEP-ETS-2016-02-04
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, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Yunus Emre Ergemen, 2016, "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-02, Jan.
- Markku Lanne & Jani Luoto, 2016, "Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-04, Jan.
- Sidi Mohamed Aly, 2016, "Moment explosions, implied volatility and local volatility at extreme strikes," Papers, arXiv.org, number 1601.06995, Jan, revised Aug 2016.
- Adil Yilmaz & Gazanfer Unal, 2016, "Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes," Papers, arXiv.org, number 1601.08099, Jan, revised Feb 2016.
- Alessandro Stringhi & Silvia Figini, 2016, "How to improve accuracy for DFA technique," Papers, arXiv.org, number 1602.00629, Feb.
- Trino-Manuel Ñíguez & Javier Perote, 2016, "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers, Banco de España, number 1602, Jan.
- Andrew Binning & Junior Maih, 2015, "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 12/2015, Dec.
- W. Robert Reed, 2016, "Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/01, Jan.
- Sergi Jiménez-Martín & José María Labeaga, 2016, "Monte Carlo evidence on the estimation of AR(1) panel data sample selection models," Working Papers, FEDEA, number 2016-01, Jan.
- KALNINA, Ilze, 2015, "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2015-08.
- Chrystalleni Aristidou & David Harvey & Stephen Leybourne, 2016, "The impact of the initial condition on covariate augmented unit root tests," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 16/01, Jan.
- Emilio Zanetti Chini, 2016, "Generalizing smooth transition autoregressions," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 114, Jan.