Report NEP-ETS-2018-09-17

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were announced in this report:

• Mark Bognanni, 2018. "A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification," Working Papers (Old Series) 1811, Federal Reserve Bank of Cleveland.
• HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018. "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE 2018020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Carol Alexander & Emese Lazar & Silvia Stanescu, 2018. "Analytic Moments for GARCH Processes," Papers 1808.09666, arXiv.org, revised Sep 2018.
• Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
• Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 88623, University Library of Munich, Germany.
• Martin Burda & Remi Daviet, 2018. "Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior," Working Papers tecipa-618, University of Toronto, Department of Economics.
• HAFNER Christian,, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Discussion Papers CORE 2018019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Josselin Garnier & Knut Solna, 2018. "Emergence of Turbulent Epochs in Oil Prices," Papers 1808.09382, arXiv.org, revised Apr 2019.
• Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
• Ridha Nouira & Thouraya Hadj Amor & Christophe Rault, 2018. "Oil Price Fluctuations and Exchange Rate Dynamics in the MENA Region: Evidence from Non-Causality-in- Variance and Asymmetric Non-Causality Tests," CESifo Working Paper Series 7201, CESifo.
• Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.