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Report NEP-ETS-2016-09-25
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:
- Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016, "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers, arXiv.org, number 1609.05865, Sep, revised Aug 2017.
- Henry Penikas, 2016, "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers, arXiv.org, number 1609.05056, Jul.
- Maheu, John M & Shamsi, Azam, 2016, "Nonparametric Dynamic Conditional Beta," MPRA Paper, University Library of Munich, Germany, number 73764, Sep.
- Vanessa Berenguer-Rico & Bent Nielsen, 2015, "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2015-W09, Aug.
- Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-14, Sep.
- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016, "Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach," Working papers, University of Connecticut, Department of Economics, number 2016-09, Sep.
- Sylvia Kaufmann, 2016, "Hidden Markov models in time series, with applications in economics," Working Papers, Swiss National Bank, Study Center Gerzensee, number 16.06, Sep.
- Matthias Raddant & Friedrich Wagner, 2016, "Multivariate Garch with dynamic beta," Papers, arXiv.org, number 1609.07051, Sep, revised Nov 2019.
- Michael Thornton & Marcus Chambers, 2016, "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers, Department of Economics, University of York, number 16/10, Sep.
- Item repec:hal:journl:halshs-01317974 is not listed on IDEAS anymore
- Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016, "Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model," Post-Print, HAL, number halshs-01278126, Feb.