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Report NEP-ETS-2018-01-15
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:
- Antoine Lejay & Paolo Pigato, 2017, "Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
[Données et méthodes pour "A threshold model for local volatilit," Working Papers, HAL, number hal-01668975, Dec. - Item repec:hal:wpaper:hal-01669082 is not listed on IDEAS anymore
- Jerry Hausman & Maxim L. Pinkovskiy, 2017, "Estimating dynamic panel models: backing out the Nickell Bias," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP53/17, Nov.
- Korobilis, D & Yilmaz, K, 2018, "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20937, Jan.
- Guy Melard & Rajae Azrak, 2017, "Asymptotic Properties of Conditional Least-squares Estimators for Array Time Series," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-49, Dec.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AMR, 2018, "A Bootstrap Stationarity Test for Predictive Regression Invalidity," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21006, Jan.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017, "Identification and Estimation in Non-Fundamental Structural VARMA Models," Working Papers, Center for Research in Economics and Statistics, number 2017-08, May.
- Dominik Bertsche & Robin Braun, 2017, "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2017-11, Dec.
- PREMINGER Arie & STORTI Giuseppe, 2017, "Least squares estimation for GARCH (1,1) model with heavy tailed errors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2017015, Apr.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017, "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers, Center for Research in Economics and Statistics, number 2017-09, Jan.