Report NEP-ETS-2017-04-16

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 Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Working Papers hal-01436267, HAL.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
• Javed Iqbal & Muhammad Nadim Hanif, 2017. "Performance Comparison of Modified HP Filter, Wavelet Analysis and Empirical Mode Decomposition for Smoothing Macroeconomic Time Series," SBP Working Paper Series 87, State Bank of Pakistan, Research Department.
• Muhammad Nadim Hanif & Javed Iqbal & M. Ali Choudhary, 2017. "Fully Modified HP Filter," SBP Working Paper Series 88, State Bank of Pakistan, Research Department.