Printed from https://ideas.repec.org/n/nep-ets/2017-09-10.html
Report NEP-ETS-2017-09-10
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:
- Irma Hindrayanto & Jan P.A.M. Jacobs & Denise R. Osborn & Jing Tian, 2017, "Trend-Cycle-Seasonal Interactions: Identification and Estimation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-57, Sep.
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017, "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 590528, Aug.
- Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth, 2017, "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets," Papers, arXiv.org, number 1709.01198, Sep.
- Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017, "Tensor Representation in High-Frequency Financial Data for Price Change Prediction," Papers, arXiv.org, number 1709.01268, Sep, revised Nov 2017.
- KUROZUMI, Eiji & 黒住, 英司, 2017, "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2017-06, Sep.
- Bibi, Abdelouahab & Ghezal, Ahmed, 2017, "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper, University Library of Munich, Germany, number 81126, Sep.
- Kocięcki, Andrzej, 2017, "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper, University Library of Munich, Germany, number 81094, Aug.
- Harvey, A. & Thiele, S., 2017, "Co-integration and control: assessing the impact of events using time series data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1731, Aug.