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Report NEP-ECM-2016-01-29
This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ECM
The following items were announced in this report:
- Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016, "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper, Tilburg University, Center for Economic Research, number 2016-002.
- Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015, "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-61, 12.
- Jaydip Sen & Tamal Datta Chaudhuri, 2016, "Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector," Papers, arXiv.org, number 1601.02407, Jan.
- Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying, 2014, "Forecasting with EC-VARMA models," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-07, Feb, revised 22 Feb 2014.
- Giuseppe Cavaliere & Iliyan Georgiev & Robert Taylor, 2016, "Unit root inference for non-stationary linear processes driven by infinite variance innovations," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 1.
- Richard H. Spady & Sami Stouli, 2016, "Dual Regression," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 16/669, Jan.
- KUROZUMI, Eiji & 黒住, 英司, 2016, "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2016-01, Jan.
- Tomasz Wieladek, 2016, "The varying coefficient Bayesian panel VAR model," Bank of England working papers, Bank of England, number 578, Jan.
- Mauro Bernardi & Leopoldo Catania, 2016, "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers, arXiv.org, number 1601.05199, Jan.
- Marc Hallin & Miroslav Šiman, 2016, "Multiple-Output Quantile Regression," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2016-03, Jan.
- Harris, D & Leybourne, SJ & Taylor, AMR, 2016, "Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 15847, Jan.
- Jonas Hallgren & Timo Koski, 2016, "Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data," Papers, arXiv.org, number 1601.06651, Jan.