Report NEP-ETS-2017-01-08

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:

• Mike G. Tsionas, 2016. "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers 217, Bank of Greece.
• Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
• Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
• Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
• Valentina V. Tarasova & Vasily E. Tarasov, 2016. "Fractional Dynamics of Natural Growth and Memory Effect in Economics," Papers 1612.09060, arXiv.org, revised Jan 2017.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.