Printed from https://ideas.repec.org/n/nep-ets/2018-12-03.html
Report NEP-ETS-2018-12-03
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:
- Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018, "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-088/III, Nov.
- Matthieu Garcin, 2018, "Hurst exponents and delampertized fractional Brownian motions," Working Papers, HAL, number hal-01919754, Nov.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018, "Inference in Bayesian Proxy-SVARs," Working Papers, Federal Reserve Bank of Philadelphia, number 18-25/R, Nov, DOI: 10.21799/frbp.wp.2018.25.
- Federico Carlini & Katarzyna (K.A.) Lasak, 2018, "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-085/III, Nov.
- 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, University of Pretoria, Department of Economics, number 201869, Nov.
- Matteo Barigozzi & Marc Hallin, 2018, "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2018-33, Nov.
- Jesus Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2018, "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics, University of Salzburg, number 2018-6, Nov.