Report NEP-ETS-2018-06-18

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti 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:

• Stelios Arvanitis & Tassos Magdalinos, 2018. "Mildly explosive autoregression under stationary conditional heteroskedasticity," Working Paper series 18-25, Rimini Centre for Economic Analysis.
• Cassim, Lucius, 2018. "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper 86615, University Library of Munich, Germany.
• Elena Goldman & Xiangjin Shen, 2018. "Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement," Staff Working Papers 18-21, Bank of Canada.
• Alexandros E. Milionis & Nikolaos G. Galanopoulos, 2018. "Time series with interdependent level and second moment: statistical testing and applications with Greek external trade and simulated data," Working Papers 246, Bank of Greece.
• Yoshihiro Yajima & Yasumasa Matsuda, 2018. "Log periodogram regression of two-dimensional intrinsic stationary random fields," DSSR Discussion Papers 85, Graduate School of Economics and Management, Tohoku University.
• Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
• Tassos Magdalinos, 2018. "Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations," Working Paper series 18-24, Rimini Centre for Economic Analysis.
• Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
• Phiri, Andrew, 2018. "Robust analysis of convergence in per capita GDP in BRICS economies," MPRA Paper 86936, University Library of Munich, Germany.
• Afees A. Salisu & Ibrahim D. Raheem, 2018. "A new procedure for pre-testing the distribution properties of Stock returns," Working Papers 057, Centre for Econometric and Allied Research, University of Ibadan.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
• Milan Eliskovski, 2018. "Investigating credit transmission mechanism in the Republic of Macedonia: evidence from Vector Error Correction Model," Working Papers 2018-02, National Bank of the Republic of North Macedonia.
• Scott A. Carson & James B. McDonald, 2018. "Partially Adaptive Econometric Methods and the Modern Obesity Epidemic," CESifo Working Paper Series 7058, CESifo.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.