Printed from https://ideas.repec.org/n/nep-ets/2017-03-26.html
Report NEP-ETS-2017-03-26
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:
- Chang, C-L. & McAleer, M.J., 2016, "A Simple Test for Causality in Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-40, Nov.
- Sujay Mukhoti & Pritam Ranjan, 2017, "A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors," Papers, arXiv.org, number 1703.06603, Mar.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017, "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1647.
- Matthew T. Holt & Timo Teräsvirta, 2017, "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-05, Jan.
- Peter Exterkate & Oskar Knapik, 2017, "A regime-switching stochastic volatility model for forecasting electricity prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-03, Jan.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017, "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-02, Jan.
- Timo Teräsvirta, 2017, "Sir Clive Granger's contributions to nonlinear time series and econometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-04, Jan.
- Søren Johansen & Morten Nyboe Tabor, 2017, "Cointegration between trends and their estimators in state space models and CVAR models," Discussion Papers, University of Copenhagen. Department of Economics, number 17-02, Mar.
- Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015, "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61886, Dec.
- Peter C.B. Phillips, 2016, "Tribute to T. W. Anderson," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2081, Dec.