Printed from https://ideas.repec.org/n/nep-ets/2017-02-19.html
Report NEP-ETS-2017-02-19
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:
- Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017, "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-022/III, Feb.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017, "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1642.
- Adrian Pagan, 2017, "Some Consequences of Using "Measurement Error Shocks" When Estimating Time Series Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-12, Feb.
- Clegg, Matthew & Krauss, Christopher & Rende, Jonas, 2017, "partialCI: An R package for the analysis of partially cointegrated time series," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 05/2017.
- Jean-Pierre Fouque & Ning Ning, 2017, "Uncertain Volatility Models with Stochastic Bounds," Papers, arXiv.org, number 1702.05036, Feb.
- Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017, "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers, arXiv.org, number 1702.04443, Feb, revised Jul 2017.