Report NEP-ETS-2018-12-24

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Loann D. Desboulets, 2017, "Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1851, Oct.
• Donatien Hainaut & Franck Moraux, 2019, "A switching self-exciting jump diffusion process for stock prices," Post-Print, HAL, number halshs-01909772, Jun, DOI: 10.1007/s10436-018-0340-5.
• Prosper Dovonon & Alastair Hall & Frank Kleibergen, 2018, "Inference in Second-Order Identified Models," CIRANO Working Papers, CIRANO, number 2018s-36, Dec.
• Peter C.B. Phillips & Yonghui Zhang & Xiaohu Wang, 2018, "HAR Testing for Spurious Regression in Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2153, Dec.
• Lajos Horvath & Lorenzo Trapani, 2018, "Testing for randomness in a random coefficient autoregression model," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/03, Mar.
• Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018, "Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions," MPRA Paper, University Library of Munich, Germany, number 90516, Nov.
• Chaohua Dong & Jiti Gao & Oliver Linton, 2018, "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 23/18.
• Henry Stone, 2018, "Calibrating rough volatility models: a convolutional neural network approach," Papers, arXiv.org, number 1812.05315, Dec, revised Jul 2019.
• Jitendra Kumar & Varun Agiwal, 2018, "Merger and Acquire of Series: A New Approach of Time Series Modeling," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2018/16, Dec.
• Lorenzo Trapani, 2018, "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/02, Feb.
• Carlo Fezzi & Luca Mosetti, 2018, "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers, Department of Economics and Management, number 2018/10.
• Tan, Fei, 2018, "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper, University Library of Munich, Germany, number 90487, Oct.
• Luigi Grossi & Fany Nan, 2018, "The influence of renewables on electricity price forecasting: a robust approach," Working Papers, Institut d'Economia de Barcelona (IEB), number 2018/10.
• Pablo Montero-Manso & George Athanasopoulos & Rob J Hyndman & Thiyanga S Talagala, 2018, "FFORMA: Feature-based forecast model averaging," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/18.
• Mario Forni & Luca Gambetti & Luca Sala, 2018, "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 139, Nov.
• David Harvey & Stephen Leybourne & Yang Zu, 2018, "Testing explosive bubbles with time-varying volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/05, May.
• Matteo Barigozzi & Lorenzo Trapani, 2018, "Sequential testing for structural stability in approximate factor models," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 18/04, Apr.
• Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018, "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper, University Library of Munich, Germany, number 90518, Dec.