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Report NEP-ETS-2019-02-11
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:
- Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
- Liang, Chong & Schienle, Melanie, 2019, "Determination of vector error correction models in high dimensions," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 124, DOI: 10.5445/IR/1000092474.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018, "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-15, Apr.
- Jean-Jacques Forneron, 2019, "A Sieve-SMM Estimator for Dynamic Models," Papers, arXiv.org, number 1902.01456, Feb, revised Jan 2023.
- Conrad, Christian & Schienle, Melanie, 2019, "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 121, DOI: 10.5445/IR/1000090371.
- Alexander Heinemann, 2019, "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers, arXiv.org, number 1902.01808, Feb, revised Jul 2019.
- Leopoldo Catania & Tommaso Proietti, 2019, "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper, Tor Vergata University, CEIS, number 450, Feb, revised 06 Feb 2019.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-03, Jan.
- Yunus Emre Ergemen & Carlos Velasco, 2018, "Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-11, Mar.
- Wenxin Huang & Sainan Jin & Liangjun Su, 2018, "Identifying Latent Grouped Patterns in Cointegrated Panels," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 3-2019, Nov.
- Niels Haldrup & Carsten P. T. Rosenskjold, 2018, "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-06, Jan.
- Murasawa, Yasutomo, 2019, "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper, University Library of Munich, Germany, number 91979, Feb.
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019, "A General Framework for Prediction in Time Series Models," Papers, arXiv.org, number 1902.01622, Feb.
- Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018, "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-05, Jan.
- John B. Donaldson & Rajnish Mehra, 2019, "Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 25519, Jan.
- Liangjun Su & Ke Miao & Sainan Jin, 2019, "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 4-2019, Jan.