Report NEP-ETS-2016-10-30

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Petr Jizba & Jan Korbel, 2016. "Techniques for multifractal spectrum estimation in financial time series," Papers 1610.07028, arXiv.org.
• Jaroslaw Kwapien & Pawel Oswiecimka & Marcin Forczek & Stanislaw Drozdz, 2016. "Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations," Papers 1610.08416, arXiv.org, revised May 2017.
• Badi H. Baltagi & Chihwa Kao & Bin Peng, 2016. "Testing Cross-sectional Correlation in Large Panel Data Models with Serial Correlation," Working papers 2016-32, University of Connecticut, Department of Economics.
• Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2016. "Testing for Instability in Covariance Structures," Working papers 2016-33, University of Connecticut, Department of Economics.
• Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
• Martin Forde & Hongzhong Zhang, 2016. "Asymptotics for rough stochastic volatility models," Papers 1610.08878, arXiv.org, revised Mar 2021.