Report NEP-ETS-2017-03-26

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:

• Chang, C-L. & McAleer, M.J., 2016. "A Simple Test for Causality in Volatility," Econometric Institute Research Papers EI2016-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Sujay Mukhoti & Pritam Ranjan, 2017. "A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors," Papers 1703.06603, arXiv.org.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
• Matthew T. Holt & Timo Teräsvirta, 2017. "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers 2017-05, Department of Economics and Business Economics, Aarhus University.
• Peter Exterkate & Oskar Knapik, 2017. "A regime-switching stochastic volatility model for forecasting electricity prices," CREATES Research Papers 2017-03, Department of Economics and Business Economics, Aarhus University.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
• Timo Teräsvirta, 2017. "Sir Clive Granger's contributions to nonlinear time series and econometrics," CREATES Research Papers 2017-04, Department of Economics and Business Economics, Aarhus University.
• Søren Johansen & Morten Nyboe Tabor, 2017. "Cointegration between trends and their estimators in state space models and CVAR models," Discussion Papers 17-02, University of Copenhagen. Department of Economics.
• Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015. "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," LSE Research Online Documents on Economics 61886, London School of Economics and Political Science, LSE Library.
• Peter C.B. Phillips, 2016. "Tribute to T. W. Anderson," Cowles Foundation Discussion Papers 2081, Cowles Foundation for Research in Economics, Yale University.