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Report NEP-ETS-2018-12-10
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:
- Yoosoon Chang & Junior Maih & Fei Tan, 2018, "Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2018-011, Nov.
- Eric Benhamou, 2018, "Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets," Papers, arXiv.org, number 1811.11618, Nov, revised Dec 2018.
- Yukai Yang & Luc Bauwens, 2018, "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-30, Nov.
- Chang, Yoosoon & Lu, Ye & Park, Joon Y., 2018, "Understanding Regressions with Observations Collected at High Frequency over Long Span," Working Papers, University of Sydney, School of Economics, number 2018-10, Jul.
- Jiang, Bibo & Lu, Ye & Park, Joon Y., 2018, "Testing for Stationarity at High Frequency," Working Papers, University of Sydney, School of Economics, number 2018-09, Jul.
- Anne Lundgaard Hansen, 2018, "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers, University of Copenhagen. Department of Economics, number 18-12, Dec.
- Laura E. Jackson & Kevin L. Kliesen & Michael T. Owyang, 2018, "The Nonlinear Effects of Uncertainty Shocks," Working Papers, Federal Reserve Bank of St. Louis, number 2018-035, Nov, DOI: 10.20955/wp.2018.035.
- Gabriel Rodríguez & Carlos Guevara, 2018, "The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2018-467, DOI: 10.18800/2079-8474.0467.