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Report NEP-ETS-2015-01-09
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Peter Martey Addo & Philippe De Peretti, 2014, "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14069, Oct.
- Steven Trypsteen, 2014, "The Importance of a Time-Varying Variance and Cross-Country Interactions in Forecast Models," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2014/15.
- Rossen, Anja, 2014, "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 157.
- Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard & Anton Golub, 2014, "Improving predictability of time series using maximum entropy methods," Papers, arXiv.org, number 1411.7805, Nov.
- Offer Lieberman & Peter C.B. Phillips, 2014, "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1964, Dec.
- Christiane Baumeister & James D. Hamilton, 2014, "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 20741, Dec.
- BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014, "Estimation and empirical performance of non-scalar dynamic conditional correlation models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014012, Jun.
- Roberto Casarin, 2014, "A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:23.