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Report NEP-ETS-2016-05-28
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:
- Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016, "The Local Fractional Bootstrap," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-15, May.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016, "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-17, May.
- Sujay Mukhoti & Pritam Ranjan, 2016, "Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors," Papers, arXiv.org, number 1605.02418, May.
- Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Papers, arXiv.org, number 1605.07099, May, revised Mar 2018.
- Hernández del Valle Gerardo & Juárez-Torres Miriam & Guerrero Santiago, 2016, "A Functional Approach to Test Trending Volatility," Working Papers, Banco de México, number 2016-04, Apr.
- Gao, Jiti & Robinson, Peter M., 2014, "Inference on nonstationary time series with moving mean," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 66509, Dec.
- Antoine Mandel & Amir Sani, 2017, "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01317974, Apr.
- Sergey Ivashchenko, 2016, "Estimation and filtering of nonlinear MS-DSGE models," HSE Working papers, National Research University Higher School of Economics, number WP BRP 136/EC/2016.
- Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016, "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 09/16.
- S Ouliaris & A R Pagan, 2015, "A New Method for Working With Sign Restrictions in SVARs," NCER Working Paper Series, National Centre for Econometric Research, number 105, May.
- Tomás del Barrio Castro & Alain Hecq, 2016, "Testing for Deterministic Seasonality in Mixed-Frequency VARs," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 76.
- Francis Bismans & Igor N. Litvine, 2016, "Forecasting with Neural Networks Models," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-28.