Report NEP-ETS-2015-09-26

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.

Other reports in NEP-ETS

The following items were announced in this report:

• Riccardo Junior Buonocore & Tomaso Aste & Tiziana Di Matteo, 2015. "Measuring multiscaling in financial time-series," Papers 1509.05471, arXiv.org, revised Sep 2015.
• Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen, 2015. "A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series," Papers 1509.05475, arXiv.org.
• E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Pankaj Kumar, 2015. "Can Univariate Time Series Models of Inflation Help Discriminate Between Alternative Sources of Inflation PersistenceAuthor-Name: Naveen Srinivasan," Working Papers 2015-104, Madras School of Economics,Chennai,India.
• Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
• Qian, Hang, 2015. "Inequality Constrained State Space Models," MPRA Paper 66447, University Library of Munich, Germany.
• Hännikäinen, Jari, 2015. "Selection of an estimation window in the presence of data revisions and recent structural breaks," MPRA Paper 66759, University Library of Munich, Germany.
• Lawrence Xaba & Ntebogang Moroke & Johnson Arkaah & Charlemagne Pooe, 2015. "A Comparative Study of Stock Price Forecasting using nonlinear models," Proceedings of International Academic Conferences 2704207, International Institute of Social and Economic Sciences.
• KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan, 2015. "Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model," Proceedings of International Academic Conferences 2704733, International Institute of Social and Economic Sciences.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.
• Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).