Report NEP-ETS-2018-12-03This 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.
The following items were announced in this report:
- Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018. "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers 18-088/III, Tinbergen Institute.
- Matthieu Garcin, 2018. "Hurst exponents and delampertized fractional Brownian motions," Working Papers hal-01919754, HAL.
- Arias, Jonas E. & Rubio-Ramirez, Juan F. & Waggoner, Daniel F., 2018. "Inference in Bayesian Proxy-SVARs," Working Papers 18-25, Federal Reserve Bank of Philadelphia.
- Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2018. "Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation," Working Papers 201869, University of Pretoria, Department of Economics.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.