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Report NEP-ETS-2016-01-29
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:
- 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.
- Matteo Ludovico Bedini & Rainer Buckdahn & Hans-Jurgen Engelbert, 2016, "Brownian Bridges on Random Intervals," Papers, arXiv.org, number 1601.01811, Jan.
- Lucas Lacasa & Ryan Flanagan, 2016, "Irreversibility of financial time series: a graph-theoretical approach," Papers, arXiv.org, number 1601.01980, Jan.
- 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.
- 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.
- Tomasz Wieladek, 2016, "The varying coefficient Bayesian panel VAR model," Bank of England working papers, Bank of England, number 578, Jan.
- Sílvia Domit & Francesca Monti & Andrej Sokol, 2016, "A Bayesian VAR benchmark for COMPASS," Bank of England working papers, Bank of England, number 583, Jan.
- 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.
- 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.
- 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.
- Yao, Wenying & Tian, Jing, 2015, "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-05.