Printed from https://ideas.repec.org/n/nep-ets/2018-09-17.html
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. 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:
- Mark Bognanni, 2018, "A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1811, Sep, DOI: 10.26509/frbc-wp-201811.
- HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018, "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018020, Jul.
- Carol Alexander & Emese Lazar & Silvia Stanescu, 2018, "Analytic Moments for GARCH Processes," Papers, arXiv.org, number 1808.09666, Aug, 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, Society for Economic Dynamics, number 1212.
- 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, University Library of Munich, Germany, number 88623, Jun.
- Martin Burda & Remi Daviet, 2018, "Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior," Working Papers, University of Toronto, Department of Economics, number tecipa-618, Sep.
- HAFNER Christian,, 2018, "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018019, Jul.
- Josselin Garnier & Knut Solna, 2018, "Emergence of Turbulent Epochs in Oil Prices," Papers, arXiv.org, number 1808.09382, Aug, revised Apr 2019.
- Esposti, Roberto, , "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy, European Association of Agricultural Economists, number 260889, DOI: 10.22004/ag.econ.260889.
- 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, CESifo, number 7201.
- 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, International Association of Agricultural Economists, number 275991, Jul, DOI: 10.22004/ag.econ.275991.