Report NEP-ETS-2018-02-19

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:

• Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
• Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018. "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper 83990, University Library of Munich, Germany.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
• Riccardo Lucchetti & Claudia Pigini, 2018. "Dynamic panel probit: finite-sample performance of alternative random-effects estimators," Working Papers 426, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Manabu Asai & Michael McAleer, 2018. "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE 2018-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chen Zhou, 2018. "A comparison study of realized kernels using different sampling frequencies," Working Papers Dissertations 30, Paderborn University, Faculty of Business Administration and Economics.
• Mohitosh Kejriwal, 2017. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Purdue University Economics Working Papers 1303, Purdue University, Department of Economics.
• Wenjuan Chen & Aleksei Netsunajev, 2018. "Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility," Bank of Estonia Working Papers wp2018-2, Bank of Estonia, revised 13 Feb 2018.
• Christophe Chesneau & Salima El Kolei & Fabien Navarro, 2017. "Parametric estimation of hidden Markov models by least squares type estimation and deconvolution," Working Papers 2017-66, Center for Research in Economics and Statistics.
• Koop, G & Korobilis, D, 2018. "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers 21329, University of Essex, Essex Business School.