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Report NEP-ETS-2016-06-25
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:
- Alexei Onatski & Chen Wang, 2016, "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1637, Jun.
- Andreou, Elena, 2016, "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11307, Jun.
- Moreira, Marcelo J. & Mourão, Rafael & Moreira, Humberto Ataíde, 2016, "A critical value function approach, with an application to persistent time-series," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 778, Jun.
- Dirk Drechsel & Stefan Neuwirth, 2016, "Taming volatile high frequency data with long lag structure: An optimal filtering approach for forecasting," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 16-407, Jan, DOI: 10.3929/ethz-a-010667032.
- Søren Johansen & Bent Nielsen, 2016, "Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series," Discussion Papers, University of Copenhagen. Department of Economics, number 16-05, Jun.
- Yanfei Kang & Rob J. Hyndman & Kate Smith-Miles, 2016, "Visualising forecasting Algorithm Performance using Time Series Instance Spaces," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/16.
- Hamidi Sahneh, Mehdi, 2016, "Testing for Non-Fundamentalness," MPRA Paper, University Library of Munich, Germany, number 71924, Jun.
- Ciccarelli, Nicola, 2016, "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper, University Library of Munich, Germany, number 72021.
- Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015, "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper, University Library of Munich, Germany, number 72084, Sep.
- Davide De Gaetano, 2016, "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0208, Jun.