Report NEP-ETS-2017-02-19

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:

• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
• Adrian Pagan, 2017. "Some consequences of using "measurement error shocks" when estimating time series models," CAMA Working Papers 2017-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Clegg, Matthew & Krauss, Christopher & Rende, Jonas, 2017. "partialCI: An R package for the analysis of partially cointegrated time series," FAU Discussion Papers in Economics 05/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Jean-Pierre Fouque & Ning Ning, 2017. "Uncertain Volatility Models with Stochastic Bounds," Papers 1702.05036, arXiv.org.
• Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017. "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers 1702.04443, arXiv.org, revised Jul 2017.