Report NEP-ETS-2016-09-25

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:

• Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
• Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
• Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
• Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
• Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach," Working papers 2016-09, University of Connecticut, Department of Economics.
• Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
• Matthias Raddant & Friedrich Wagner, 2016. "Multivariate Garch with dynamic beta," Papers 1609.07051, arXiv.org, revised Nov 2019.
• Michael Thornton & Marcus Chambers, 2016. "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers 16/10, Department of Economics, University of York.
• Item repec:hal:journl:halshs-01317974 is not listed on IDEAS anymore

• Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016. "Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model," Post-Print halshs-01278126, HAL.