Report NEP-ETS-2017-04-23

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:

• Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," EconomiX Working Papers 2017-20, University of Paris Nanterre, EconomiX.
• F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
• Adrian Nieto, 2017. "The impact of the initial condition on covariate augmented unit root tests," Discussion Papers 17/01, University of Nottingham, Granger Centre for Time Series Econometrics.
• Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016. "Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility," Working Papers wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
• Tom Boot & Andreas Pick, 2017. "A near optimal test for structural breaks when forecasting under square error loss," Tinbergen Institute Discussion Papers 17-039/III, Tinbergen Institute.
• Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Skrobotov Anton & Eiji Kurozumi, 2016. "Confidence Sets for the Break Date in Cointegrating Regressions," Working Papers wpaper-2016-268, Gaidar Institute for Economic Policy, revised 2016.