Report NEP-ETS-2018-04-09This 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:
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
- Bensalma, Ahmed, 2018. "Two Distinct Seasonally Fractionally Differenced Periodic Processes," MPRA Paper 84969, University Library of Munich, Germany.
- Bruce E. Hansen & Jeffrey S. Racine, 2018. "Bootstrap Model Averaging Unit Root Inference," Department of Economics Working Papers 2018-09, McMaster University.
- Priyanga Dilini Talagala & Rob J Hyndman & Kate Smith-Miles & Sevvandi Kandanaarachchi & Mario A Munoz, 2018. "Anomaly detection in streaming nonstationary temporal data," Monash Econometrics and Business Statistics Working Papers 4/18, Monash University, Department of Econometrics and Business Statistics.
- Takaki Sato & Yasumasa Matsuda, 2018. "Spatial GARCH Models," DSSR Discussion Papers 78, Graduate School of Economics and Management, Tohoku University.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Stefan Bruder, 2018. "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers 281, Department of Economics - University of Zurich.
- Luisa Bisaglia & Margherita Gerolimetto, "undated". "Estimation and forecasting in INAR(p) models using sieve bootstrap," Working Papers 2018:06, Department of Economics, University of Venice "Ca' Foscari".