Report NEP-ETS-2018-03-26This 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:
- Ryo Okui & Takahide Yanagi, 2018. "Kernel Estimation for Panel Data with Heterogeneous Dynamics," Papers 1802.08825, arXiv.org, revised May 2019.
- Chambers, Marcus J & Taylor, AM Robert, 2018. "Time-Varying Parameters in Continuous and Discrete Time," Essex Finance Centre Working Papers 21684, University of Essex, Essex Business School.
- Roberto Leon-Gonzalez, 2018. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 17-16, National Graduate Institute for Policy Studies.
- L. Bauwens & E. Otrando, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Yang Lu & Christian Gourieroux, 2018. "Negative Binomial Autoregressive Process," CEPN Working Papers hal-01730050, HAL.
- Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017. "“Unbiased estimation of autoregressive models forbounded stochastic processes," AQR Working Papers 201710, University of Barcelona, Regional Quantitative Analysis Group, revised Dec 2017.
- Nadia Boussaha & Faycal Hamdi & Saïd Souam, 2018. "Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling," EconomiX Working Papers 2018-14, University of Paris Nanterre, EconomiX.
- Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2018. "Temporal Aggregation of Seasonally Near-Integrated Processes," DEA Working Papers 86, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Xiao, Weilin & Yu, Jun, 2018. "Asymptotic Theory for Rough Fractional Vasicek Models," Economics and Statistics Working Papers 7-2018, Singapore Management University, School of Economics.