Report NEP-ETS-2018-10-08

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:

• Stephan Smeekes & Etienne Wijler, 2018. "An Automated Approach Towards Sparse Single-Equation Cointegration Modelling," Papers 1809.08889, arXiv.org, revised Jul 2020.
• Ante Čobanov, 2018. "Seasonal adjustment of time series and calendar influence on economic activity," Surveys 33, The Croatian National Bank, Croatia.
• Mengheng Li & Marcel Scharth, 2018. "Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model," Working Paper Series 49, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
• Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.
• Yaya, OlaOluwa S & Akinlana, Damola M & Ogbonna, Ahamuefula E, 2017. "Investigating Structural break-GARCH-based Unit root test in US exchange rates," MPRA Paper 88768, University Library of Munich, Germany.
• Yaya, OlaOluwa S, 2017. "Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural break-GARCH-based unit root tests," MPRA Paper 88769, University Library of Munich, Germany.
• Vayi, Xolisa & Phiri, Andrew, 2018. "A sequential panel selection approach to cointegration analysis: An application to Wagner's law for South African provincial data," MPRA Paper 88989, University Library of Munich, Germany.
• Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
• J. A. Lafuente & R. Pérez & J. Ruiz, 2018. "Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule," Documentos de Trabajo del ICAE 2018-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Haroon Mumtaz & Alberto Musso, 2018. "The evolving impact of global, region-specific and country-specific uncertainty," Working Papers 866, Queen Mary University of London, School of Economics and Finance.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.