Report NEP-ETS-2017-11-12This 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.
The following items were announced in this report:
- Thomas Goodwin & Jing Tian, 2017. "A state space approach to evaluate multi-horizon forecasts," CAMA Working Papers 2017-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017. "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES ECARES 2017-39, ULB -- Universite Libre de Bruxelles.
- Hausman, Jerry A. & Pinkovskiy, Maxim L., 2017. "Estimating dynamic panel models: backing out the Nickell Bias," Staff Reports 824, Federal Reserve Bank of New York.
- Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.
- Blanka Horvath & Antoine Jacquier & Aitor Muguruza, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2017.