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Report NEP-ETS-2017-11-12
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:
- Thomas Goodwin & Jing Tian, 2017, "A State Space Approach to Evaluate Multi-horizon Forecasts," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-67, Nov.
- Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017, "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-39, Nov.
- Jerry A. Hausman & Maxim L. Pinkovskiy, 2017, "Estimating dynamic panel models: backing out the Nickell Bias," Staff Reports, Federal Reserve Bank of New York, number 824, Oct.
- Asai, M. & McAleer, M.J. & Peiris, S., 2017, "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2017-29, Nov.
- Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017, "Joint Tests of Contagion with Applications to Financial Crises," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-65, Oct.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers, Bank for International Settlements, number 667, Oct.
- Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017, "Functional central limit theorems for rough volatility," Papers, arXiv.org, number 1711.03078, Nov, revised Nov 2023.