Report NEP-ETS-2016-12-11

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
• Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute, revised 13 Oct 2017.
• Kurz-Kim, Jeong-Ryeol, 2016. "Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators," Discussion Papers 47/2016, Deutsche Bundesbank.
• Matthieu Garcin, 2016. "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Working Papers hal-01399570, HAL.
• Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.