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Report NEP-ETS-2015-06-27
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:
- Matteo Barigozzi & Marc Hallin, 2015, "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-22, Jun.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015, "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-30, Jun.
- Hamidi Sahneh, Mehdi, 2015, "Are the shocks obtained from SVAR fundamental?," MPRA Paper, University Library of Munich, Germany, number 65126, Jun.
- Lorenz Schneider & Bertrand Tavin, 2015, "Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets," Papers, arXiv.org, number 1506.05911, Jun.