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Report NEP-ETS-2017-10-01
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:
- Item repec:cwl:cwldpp:3011 is not listed on IDEAS anymore
- Item repec:cwl:cwldpp:3009 is not listed on IDEAS anymore
- Todd Prono, 2017, "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-095, Sep, DOI: 10.17016/FEDS.2017.095.
- McAleer, M.J., 2017, "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-082/III, Sep.
- Tan, A.C. & McAleer, M.J., 2017, "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 17-069/III, Jul.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1715, Sep, DOI: 10.26509/frbc-wp-201715.
- Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017, "Testing the causality of Hawkes processes with time reversal," Papers, arXiv.org, number 1709.08516, Sep.