Report NEP-ETS-2017-10-01

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:

• Qiying Wang & Peter C.B. Phillips & Ioannis Kasparis, 2017. "Latent Variable Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 3011, Cowles Foundation for Research in Economics, Yale University.
• Degui Li & Peter C.B. Phillips & Jiti Gao, 2017. "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers 3009, Cowles Foundation for Research in Economics, Yale University.
• Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
• McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series) 1715, Federal Reserve Bank of Cleveland.
• Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017. "Testing the causality of Hawkes processes with time reversal," Papers 1709.08516, arXiv.org.