Report NEP-ETS-2021-08-30

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:

• Seisho Sato & Naoto Kunimoto, 2021. "Frequency Regression and Smoothing for Noisy Nonstationary Time Series," CARF F-Series CARF-F-519, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Atoi, Ngozi Victor & Nwambeke, Chinedu G., 2021. "Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach," MPRA Paper 109305, University Library of Munich, Germany.
• Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
• Heidar Eyjolfsson & Dag Tj{o}stheim, 2021. "Multivariate self-exciting jump processes with applications to financial data," Papers 2108.10176, arXiv.org.
• Varsha S. Kulkarni, 2021. "A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process," Papers 2108.09083, arXiv.org.
• George Athanasopoulos & Nikolaos Kourentzes, 2021. "On the Evaluation of Hierarchical Forecasts," Monash Econometrics and Business Statistics Working Papers 10/21, Monash University, Department of Econometrics and Business Statistics.