Report NEP-ETS-2016-06-18

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:

• K. Kanjamapornkul & R. Pinv{c}'ak, 2016. "Kolmogorov Space in Time Series Data," Papers 1606.03901, arXiv.org.
• Rünstler, Gerhard, 2016. "On the design of data sets for forecasting with dynamic factor models," Working Paper Series 1893, European Central Bank.
• YAMAMOTO, Yohei & 山本, 庸平, 2016. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Discussion paper series HIAS-E-26, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Minskya, Ksovim, 2016. "Analysis of average value of a Fourier series using z-transform: comparison with Hodrick-Prescott filter," MPRA Paper 71745, University Library of Munich, Germany.
• Minskya, Ksovim, 2016. "A three-pole filter understanding of the average value of a Fourier series," MPRA Paper 71765, University Library of Munich, Germany.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.