Report NEP-ETS-2016-07-30

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:

• Diego Ardila & Didier Sornette, 2016. "Dating the Financial Cycle: A Wavelet Proposition," Swiss Finance Institute Research Paper Series 16-29, Swiss Finance Institute, revised May 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series 16-35, Swiss Finance Institute, revised Jun 2016.
• Barnichon, Regis & Matthes, Christian, 2016. "Gaussian Mixture Approximations of Impulse Responses and The Non-Linear Effects of Monetary Shocks," CEPR Discussion Papers 11374, C.E.P.R. Discussion Papers.
• Item repec:cte:wsrepe:23413 is not listed on IDEAS anymore

• Ana Paula Martins, 2016. "A Smoothing Test under First-Order Autoregressive Processes and a First-Order Moving-Average Correction," EERI Research Paper Series EERI RP 2016/12, Economics and Econometrics Research Institute (EERI), Brussels.
• Jitendra Kuma & Anoop Chaturvedi & Umme Afifa, 2016. "Bayesian Unit Root Test for Panel Data," EERI Research Paper Series EERI RP 2016/14, Economics and Econometrics Research Institute (EERI), Brussels.
• Joshua C.C. Chan & Angelia L. Grant, 2016. "Reconciling output gaps: unobserved components model and Hodrick-Prescott filter," CAMA Working Papers 2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Morten Ø. Nielsen & S Johansen, 2016. "The Cointegrated Vector Autoregressive Model With General Deterministic Terms," Working Paper 1363, Economics Department, Queen's University.
• Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016. "A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures," CEIS Research Paper 391, Tor Vergata University, CEIS, revised 23 Jul 2016.
• In Choi & Sun Ho Hwang, 2016. "Optimal Autoregressive Predictions," Working Papers 1607, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
• In Choi, 2016. "Cross-sectional maximum likelihood and bias-corrected pooled least squares estimators for dynamic panels with short T," Working Papers 1610, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).