Report NEP-ETS-2017-06-11

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:

• Voutilainen, Ville, 2017. "Wavelet decomposition of the financial cycle : An early warning system for financial tsunamis," Research Discussion Papers 11/2017, Bank of Finland.
• Hiroyuki Kasahara & Katsumi Shimotsu, 2017. "Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models," CIRJE F-Series CIRJE-F-1049, CIRJE, Faculty of Economics, University of Tokyo.
• Bo Pieter Johannes Andree & Francisco Blasques & Eric Koomen, 2017. "Smooth Transition Spatial Autoregressive Models," Tinbergen Institute Discussion Papers 17-050/III, Tinbergen Institute.
• Dovonon, Prosper & Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping high-frequency jump tests," IDEI Working Papers 870, Institut d'Économie Industrielle (IDEI), Toulouse.
• Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," IDEI Working Papers 869, Institut d'Économie Industrielle (IDEI), Toulouse.
• Dovonon, Prosper & Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping high-frequency jump tests," TSE Working Papers 17-810, Toulouse School of Economics (TSE).