Report NEP-ETS-2017-12-11

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:

• Dat Thanh Tran & Alexandros Iosifidis & Juho Kanniainen & Moncef Gabbouj, 2017. "Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis," Papers 1712.00975, arXiv.org.
• Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
• Raja Ben Hajria & Salah Khardani & Hamdi Raïssi, 2017. "Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests," Working Papers 2017-03, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso.
• Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017. "Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains," Working Papers 201780, University of Pretoria, Department of Economics.