Report NEP-ETS-2017-05-21

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:

• Item repec:cte:wsrepe:24552 is not listed on IDEAS anymore

• Iacone, Fabrizio & Leybourne, Stephen J & Taylor, AM Robert, 2017. "Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point," Essex Finance Centre Working Papers 19654, University of Essex, Essex Business School.
• Jakob Knollmuller & Torsten A. En{ss}lin, 2017. "Noisy independent component analysis of auto-correlated components," Papers 1705.02344, arXiv.org, revised Aug 2017.
• Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Naoto Kunitomo & Daisuke Kurisu & Yusuke Amano & Naoki Awaya, 2017. "The Simultaneous Multivariate Hawkes-type Point Processes and Their Application to Financial Markets," CIRJE F-Series CIRJE-F-1045, CIRJE, Faculty of Economics, University of Tokyo.
• Karol Szafranek, 2017. "Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks," NBP Working Papers 262, Narodowy Bank Polski.