Report NEP-ETS-2019-11-18

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:

• HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019. "Exponential-type GARCH models with linear-in-variance risk premium," LIDAM Discussion Papers CORE 2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2019. "Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data," Economics and Statistics Working Papers 17-2019, Singapore Management University, School of Economics.
• Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
• Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
• Pfarrhofer, Michael, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Working Papers in Economics 2019-3, University of Salzburg.
• Boriss Siliverstovs & Daniel Wochner, 2019. "Recessions as Breadwinner for Forecasters State-Dependent Evaluation of Predictive Ability: Evidence from Big Macroeconomic US Data," KOF Working papers 19-463, KOF Swiss Economic Institute, ETH Zurich.
• Eraslan, Sercan & Schröder, Maximilian, 2019. "Nowcasting GDP with a large factor model space," Discussion Papers 41/2019, Deutsche Bundesbank.
• Florian, Huber & Kaufmann, Daniel, 2019. "Trend Fundamentals and Exchange Rate Dynamics," Working Papers in Economics 2019-4, University of Salzburg.
• Juan Carlos Cuestas, 2019. "Quantile regressions, asymmetric adjustment and crisis: the case of EU real exchange rates," Working Papers 2019/09, Economics Department, Universitat Jaume I, Castellón (Spain).
• Melolinna, Marko & Tóth, Máté, 2019. "Trend and cycle shocks in Bayesian unobserved components models for UK productivity," Bank of England working papers 826, Bank of England.