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Report NEP-ETS-2018-01-08
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:
- Zacharias Psaradakis & Martin Sola, 2017, "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1702, Mar.
- Ruben Loaiza-Maya & Michael Stanley Smith, 2017, "Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series," Papers, arXiv.org, number 1712.09150, Dec, revised Jul 2018.
- BREITUNG, Jörg & HAFNER, Christian, 2016, "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016004, Oct.
- Massimo Franchi & Paolo Paruolo, 2017, "Cointegration in functional autoregressive processes," Papers, arXiv.org, number 1712.07522, Dec, revised Oct 2018.
- J. Eduardo Vera-Vald'es, 2017, "On Long Memory Origins and Forecast Horizons," Papers, arXiv.org, number 1712.08057, Dec.
- Hepsag, Aycan, 2017, "New unit root tests with two smooth breaks and nonlinear adjustment," MPRA Paper, University Library of Munich, Germany, number 83353, Dec.
- Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017, "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 577.