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Report NEP-ETS-2017-06-04
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:
- Chen, J. & Kobayashi, M. & McAleer, M.J., 2017, "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-022/III, Feb.
- Michal Andrle & Miroslav Plasil, 2017, "System Priors for Econometric Time Series," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/01, May.
- Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017, "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24614, May.
- Cabana Garceran del Vall, Elisa & Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira, 2017, "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 24613, May.
- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017, "A note on the estimated GARCH coefficients from the S&P1500 universe," Discussion Paper Series, Department of Economics, University of Macedonia, number 2017_04, May, revised May 2017.
- James D. Hamilton, 2017, "Why You Should Never Use the Hodrick-Prescott Filter," NBER Working Papers, National Bureau of Economic Research, Inc, number 23429, May.
- Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017, "Testing the Hypothesis of a Unit Root for Independent Panels
[Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers, Russian Presidential Academy of National Economy and Public Administration, number 021707, Feb. - Davide De Gaetano, 2017, "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0219, May.
- Edward Herbst & Frank Schorfheide, 2017, "Tempered Particle Filtering," NBER Working Papers, National Bureau of Economic Research, Inc, number 23448, May.
- Ralph Rudd & Thomas A. McWalter & Jorg Kienitz & Eckhard Platen, 2017, "Fast Quantization of Stochastic Volatility Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 382, May.