Report NEP-ETS-2018-06-18This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.
The following items were announced in this report:
- Stelios Arvanitis & Tassos Magdalinos, 2018. "Mildly explosive autoregression under stationary conditional heteroskedasticity," Working Paper series 18-25, Rimini Centre for Economic Analysis.
- Cassim, Lucius, 2018. "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper 86615, University Library of Munich, Germany.
- Elena Goldman & Xiangjin Shen, 2018. "Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement," Staff Working Papers 18-21, Bank of Canada.
- Alexandros E. Milionis & Nikolaos G. Galanopoulos, 2018. "Time series with interdependent level and second moment: statistical testing and applications with Greek external trade and simulated data," Working Papers 246, Bank of Greece.
- Yoshihiro Yajima & Yasumasa Matsuda, 2018. "Log periodogram regression of two-dimensional intrinsic stationary random fields," DSSR Discussion Papers 85, Graduate School of Economics and Management, Tohoku University.
- Fiorentini, Gabriele & Sentana, Enrique, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Tassos Magdalinos, 2018. "Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations," Working Paper series 18-24, Rimini Centre for Economic Analysis.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Phiri, Andrew, 2018. "Robust analysis of convergence in per capita GDP in BRICS economies," MPRA Paper 86936, University Library of Munich, Germany.
- Afees A. Salisu & Ibrahim D. Raheem, 2018. "A new procedure for pre-testing the distribution properties of Stock returns," Working Papers 057, Centre for Econometric and Allied Research, University of Ibadan.
- Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
- Milan Eliskovski, 2018. "Investigating credit transmission mechanism in the Republic of Macedonia: evidence from Vector Error Correction Model," Working Papers 2018-02, National Bank of the Republic of Macedonia.
- Scott A. Carson & James B. McDonald, 2018. "Partially Adaptive Econometric Methods and the Modern Obesity Epidemic," CESifo Working Paper Series 7058, CESifo Group Munich.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.