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Report NEP-ETS-2016-04-16
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:
- Ole E. Barndorff-Nielsen, 2016, "Assessing Gamma kernels and BSS/LSS processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-09, Apr.
- Michele Piffer, 2016, "Assessing Identifying Restrictions in SVAR Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1563.
- Matteo Barigozzi & Marc Hallin, 2015, "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-34, Oct.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016, "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-024, Mar, DOI: 10.17016/FEDS.2016.024r1.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_04, Apr.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016, "Bayesian Compressed Vector Autoregressions," Working Papers, Business School - Economics, University of Glasgow, number 2016_09, Mar.
- Abonazel, Mohamed R., 2016, "Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects," MPRA Paper, University Library of Munich, Germany, number 70628, Apr.
- Leopoldo Catania & Anna Gloria Billé, 2016, "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CEIS Research Paper, Tor Vergata University, CEIS, number 375, Mar, revised 31 Mar 2016.