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Report NEP-ETS-2015-02-28
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:
- Gary Koop & Dimitris Korobilis, 2014, "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series, Rimini Centre for Economic Analysis, number 39_14, Nov.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014, "Large Bayesian VARMAs," Working Paper series, Rimini Centre for Economic Analysis, number 40_14, Nov.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2015, "An Overview of the Factor-augmented Error-Correction Model," Discussion Papers, Department of Economics, University of Birmingham, number 15-03, Jan.
- Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2015, "Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps," Papers, arXiv.org, number 1502.02595, Feb, revised Dec 2015.
- Item repec:stn:sotoec:1519 is not listed on IDEAS anymore
- Florian Ziel, 2015, "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers, arXiv.org, number 1502.06557, Feb, revised Dec 2015.
- Omay, Tolga & Yildirim, Dilem, 2013, "Nonlinearity and Smooth Breaks in Unit Root Testing," MPRA Paper, University Library of Munich, Germany, number 62334, May.
- Omay, Tolga & Hasanov, Mubariz & Emirmahmutoglu, Furkan, 2014, "Structural Break, Nonlinearity, and Asymmetry: A re-examination of PPP proposition," MPRA Paper, University Library of Munich, Germany, number 62335, Sep.
- Alexander Schnurr, 2015, "An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series," Papers, arXiv.org, number 1502.07321, Jan.
- Robinson, Peter M. & Velasco, Carlos, 2015, "Efficient inference on fractionally integrated panel data models with fixed effects," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60795, Apr.
- Juan Rubio-Ramirez & Daniel Waggoner & Jonas Arias, 2014, "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," 2014 Meeting Papers, Society for Economic Dynamics, number 1199.