Printed from https://ideas.repec.org/n/nep-ets/2017-05-14.html
Report NEP-ETS-2017-05-14
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:
- Manuel Gonzalez-Astudillo, 2017, "GDP Trend-cycle Decompositions Using State-level Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-051, May, DOI: 10.17016/FEDS.2017.051.
- Friedrich, Marina & Smeekes, Stephan & Urbain, Jean-Pierre, 2017, "Autoregressive Wild Bootstrap Inference for Nonparametric Trends," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 010, May, DOI: 10.26481/umagsb.2017010.
- Stavros Stavroyiannis, 2017, "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers, arXiv.org, number 1705.00535, May.
- Joana Estevens & Paulo Rocha & Joao Boto & Pedro Lind, 2017, "Stochastic modelling of non-stationary financial assets," Papers, arXiv.org, number 1705.01145, Apr.
- Christian Pierdzioch & Rangan Gupta, 2017, "Uncertainty and Forecasts of U.S. Recessions," Working Papers, University of Pretoria, Department of Economics, number 201732, May.
- Jose Diogo Barbosa & Marcelo Moreira, 2017, "Likelihood inference and the role of initial conditions for the dynamic panel data model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP04/17, Jan.
- Oliver Linton & Jianbin Wu, 2017, "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP05/17, Jan.
- Manuel Arellano & Stéphane Bonhomme, 2016, "Nonlinear panel data methods for dynamic heterogeneous agent models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP51/16, Nov.
- Duprey, Thibaut & Klaus, Benjamin, 2017, "How to predict financial stress? An assessment of Markov switching models," Working Paper Series, European Central Bank, number 2057, May.
- Clements, A.E. & Hurn, A.S. & Lindsay, K.A. & Volkov, V.V, 2017, "A semi-parametric point process model of the interactions between equity markets," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-06.