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Report NEP-ETS-2017-12-03
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:
- Dou, Baojun & Parrella, Maria Lucia & Yao, Qiwei, 2016, "Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67151, Oct.
- Robinson, Peter & Taylor, Luke, 2017, "Adaptive estimation in multiple time series with independent component errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 68345, Feb.
- Eyal Neuman & Mathieu Rosenbaum, 2017, "Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint," Papers, arXiv.org, number 1711.00427, Nov, revised May 2018.
- Matteo Serafino & Andrea Gabrielli & Guido Caldarelli & Giulio Cimini, 2017, "Statistical validation of financial time series via visibility graph," Papers, arXiv.org, number 1710.10980, Oct.
- Michael W. McCracken & Joseph McGillicuddy, 2017, "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers, Federal Reserve Bank of St. Louis, number 2017-40, Nov, DOI: 10.20955/wp.2017.040.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017, "Trends and Cycles in Macro Series: The Case of US Real GDP," CESifo Working Paper Series, CESifo, number 6728.
- Raihan, Tasneem, 2017, "Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty," MPRA Paper, University Library of Munich, Germany, number 82343, Oct.
- Güriş, Burak, 2017, "A New Nonlinear Unit Root Test with Fourier Function," MPRA Paper, University Library of Munich, Germany, number 82260, Oct.
- Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017, "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University, number 1707, Nov.
- Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017, "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-111/III, Nov.
- Burak Eroglu, 2017, "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University, number 1706, Nov.