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Report NEP-ETS-2018-08-20
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:
- Archil Gulisashvili, 2018, "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Papers, arXiv.org, number 1808.00421, Aug, revised Jun 2019.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2018, "Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility," Working Papers, Banco de Portugal, Economics and Research Department, number w201817.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018, "A scoring rule for factor and autoregressive models under misspecification," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:18.
- Stanislav Anatolyev & Anna Mikusheva, 2018, "Limit Theorems for Factor Models," Papers, arXiv.org, number 1807.06338, Jul, revised Sep 2020.
- Junpei Komiyama & Hajime Shimao, 2018, "Cross Validation Based Model Selection via Generalized Method of Moments," Papers, arXiv.org, number 1807.06993, Jul.
- Sílvia GONÇALVES & Benoit PERRON, 2018, "Bootstrapping Factor Models With Cross Sectional Dependence," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2018.
- Nikolay Iskrev, 2018, "Calibration and the estimation of macroeconomic models," Working Papers, Banco de Portugal, Economics and Research Department, number w201801.
- Lennart (L.F.) Hoogerheide & Herman (H.K.) van Dijk, 2018, "Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-063/III, Aug.
- Abdolrahman Khoshrou & Eric J. Pauwels, 2018, "Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016," Papers, arXiv.org, number 1807.07328, Jul.
- Castro Rozo, César & Jiménez-Rodríguez, Rebeca, 2018, "Time-varying relationship between oil price and exchange rate," MPRA Paper, University Library of Munich, Germany, number 87879, Mar.
- Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018, "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1816, May.
- Guilherme Demos & Didier Sornette, 2018, "Lagrange Regularisation Approach to Compare Nested Data Sets and Determine Objectively Financial Bubbles' Inceptions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-20, Mar.
- Andrea Cipollini & Fabio Parla, 2018, "Housing Market Shocks in Italy: a GVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0069, Apr.
- Paulo M.M. Rodrigues & João Cruz, 2018, "Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics," Working Papers, Banco de Portugal, Economics and Research Department, number w201814.