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Report NEP-ETS-2018-10-01
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:
- Yun Liu & Yeonwoo Rho, 2018, "On the Choice of Instruments in Mixed Frequency Specification Tests," Papers, arXiv.org, number 1809.05503, Sep.
- Tony Chernis & Rodrigo Sekkel, 2018, "Nowcasting Canadian Economic Activity in an Uncertain Environment," Discussion Papers, Bank of Canada, number 18-9, DOI: 10.34989/sdp-2018-9.
- Cobb, Marcus P A, 2018, "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper, University Library of Munich, Germany, number 88593, Aug.
- Arthur T. Rego & Thiago R. dos Santos, 2018, "Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler," Papers, arXiv.org, number 1809.01501, Aug, revised Oct 2018.
- Gomez-Gonzalez, Jose & Rojas-Espinosa, Wilmer, 2018, "Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas," MPRA Paper, University Library of Munich, Germany, number 88578, Aug.
- Stanis{l}aw Dro.zd.z & Rafa{l} Kowalski & Pawe{l} O'swic{e}cimka & Rafa{l} Rak & Robert Gc{e}barowski, 2018, "Dynamical variety of shapes in financial multifractality," Papers, arXiv.org, number 1809.06728, Sep.
- Lin Fan & Junting Duan & Peter W. Glynn & Markus Pelger, 2018, "Change-Point Testing for Risk Measures in Time Series," Papers, arXiv.org, number 1809.02303, Sep, revised Oct 2025.
- Meyer-Gohde, Alexander & Neuhoff, Daniel, 2018, "Generalized exogenous processes in DSGE: A Bayesian approach," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 125.
- Meinen, Philipp & Röhe, Oke, 2018, "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers, Deutsche Bundesbank, number 33/2018.