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Report NEP-ETS-2018-06-11
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:
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018, "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-26, May.
- Jonas Dovern & Hans Manner, 2018, "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series, CESifo, number 7023.
- Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018, "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-25, May.
- Christiane Baumeister & James D. Hamilton, 2018, "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series, CESifo, number 7048.
- Claudio, Morana, 2018, "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers, University of Milano-Bicocca, Department of Economics, number 382, Jun, revised 04 Jun 2018.
- G. Angelini & L. Fanelli, 2018, "Identification and estimation issues in Structural Vector Autoregressions with external instruments," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1122, May.
- Cassim, Lucius, 2018, "A semi-parametric GARCH (1, 1) estimator under serially dependent innovations," MPRA Paper, University Library of Munich, Germany, number 86572, May.
- Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018, "Nonparametric Bayesian volatility estimation," Papers, arXiv.org, number 1801.09956, Jan, revised Mar 2019.
- Item repec:spo:wpmain:info:hdl:2441/5fafm6me7k8omq5jbo61urqq27 is not listed on IDEAS anymore
- Russell Davidson & Andrea Monticini, 2018, "Improvements in Bootstrap Inference," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def070, Apr.
- Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018, "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-047/III, May.
- Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2018, "Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data," Working Papers, University of Pretoria, Department of Economics, number 201833, May.
- Tan T. M. Le & Franck Martin & Duc K. Nguyen, 2018, "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2018-04, Apr.
- Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018, "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers, Bank for International Settlements, number 725, May.
- Sahu, Priyanka, 2018, "The Impact of Shocks on Core Inflation; Evidence from India," MPRA Paper, University Library of Munich, Germany, number 86588, Mar.