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Report NEP-ETS-2016-10-23
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:
- Marcellino, Massimiliano & Abbate, Angela, 2016, "Point, interval and density forecasts of exchange rates with time-varying parameter models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11559, Oct.
- Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016, "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11560, Oct.
- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-084/III, Oct.
- Todd Prono, 2016, "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-083, Oct, DOI: 10.17016/FEDS.2016.083r1.
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016, "Time-Varying Comovement of Foreign Exchange Markets," Papers, arXiv.org, number 1610.04334, Oct.
- Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016, "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers, arXiv.org, number 1610.05383, Oct.