Report NEP-ETS-2016-12-18

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:

• Gonçalo Faria & Fabio Verona, 2016, "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 06, Dec.
• Davide Delle Monache & Ivan Petrella, 2016, "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 1603, Nov.
• Joachim Lebovits & Mark Podolskij, 2016, "Estimation of the global regularity of a multifractional Brownian motion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-33, Dec.
• Offer Lieberman & Peter C.B. Phillips, 2016, "IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2061, Jun.
• Thieu, Le Quyen, 2016, "Variance targeting estimation of the BEKK-X model," MPRA Paper, University Library of Munich, Germany, number 75572, Aug.
• Thieu, Le Quyen, 2016, "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper, University Library of Munich, Germany, number 75582, Sep.
• Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016, "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers, Toulouse School of Economics (TSE), number 16-738, Nov.
• Luke Hartigan, 2016, "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers, School of Economics, The University of New South Wales, number 2016-18, Nov.