Report NEP-ETS-2019-02-18

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:

• Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
• Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai Leung, 2018. "Estimating Multiple Breaks in Nonstationary Autoregressive Models," MPRA Paper 92074, University Library of Munich, Germany.
• Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
• Nick James & Roman Marchant & Richard Gerlach & Sally Cripps, 2019. "Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series," Papers 1902.03350, arXiv.org.
• Paolo Andreini & Donato Ceci, 2019. "A Horse Race in High Dimensional Space," CEIS Research Paper 452, Tor Vergata University, CEIS, revised 14 Feb 2019.
• Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.
• Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
• Pierre Perron & Yohei Yamamoto, 2018. "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series WP2019-03, Boston University - Department of Economics, revised Dec 2018.
• Spiliotis, Evangelos & Petropoulos, Fotios & Kourentzes, Nikolaos & Assimakopoulos, Vassilios, 2018. "Cross-temporal aggregation: Improving the forecast accuracy of hierarchical electricity consumption," MPRA Paper 91762, University Library of Munich, Germany.
• Ozer Karagedikli & Shaun P. Vahey & Elizabeth C. Wakerly, 2019. "Improved methods for combining point forecasts for an asymmetrically distributed variable," CAMA Working Papers 2019-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Item repec:bny:wpaper:0073 is not listed on IDEAS anymore

• Susanne M. Schennach, 2018. "Long memory via networking," CeMMAP working papers CWP49/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Hai-Chuan Xu & Gao-Feng Gu & Wei-Xing Zhou, 2019. "Direct determination approach for the multifractal detrending moving average analysis," Papers 1902.04437, arXiv.org.
• Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Paulo Parente & Richard J. Smith, 2018. "Kernel block bootstrap," CeMMAP working papers CWP48/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019. "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers 1902.03714, arXiv.org.
• Verena Monschang & Bernd Wilfling, 2019. "Sup-ADF-style bubble-detection methods under test," CQE Working Papers 7819, Center for Quantitative Economics (CQE), University of Muenster.