Report NEP-ETS-2018-02-12

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:

• Rasmus Søndergaard Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print hal-01436267, HAL.
• Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
• J. Eduardo Vera-Vald'es, 2018. "Nonfractional Memory: Filtering, Antipersistence, and Forecasting," Papers 1801.06677, arXiv.org.
• Denisa Roberts & Douglas Patterson, 2018. "A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity," Papers 1801.06727, arXiv.org, revised Mar 2020.
• Hiroyuki Kasahara & Katsumi Shimotsu, 2018. "Testing the Number of Regimes in Markov Regime Switching Models," Papers 1801.06862, arXiv.org, revised Jan 2018.
• Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018. "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers 1802.00793, arXiv.org.
• Fischer, Thomas & Krauss, Christopher & Treichel, Alex, 2018. "Machine learning for time series forecasting - a simulation study," FAU Discussion Papers in Economics 02/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Baumeister, Christiane & Hamilton, James, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Deman," CEPR Discussion Papers 12532, C.E.P.R. Discussion Papers.