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Report NEP-ETS-2019-04-01
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:
- Martin Bruns & Michele Piffer, 2019, "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1796.
- Haroon Mumtaz & Katerina Petrova, 2018, "Changing impact of shocks: a time-varying proxy SVAR approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 875, Nov.
- Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019, "Long Memory, Realized Volatility and HAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 881, Jan.
- Neville Francis & Michael T. Owyang & Daniel Soques, 2019, "Business Cycles Across Space and Time," Working Papers, Federal Reserve Bank of St. Louis, number 2019-010, Jan, revised 05 May 2021, DOI: 10.20955/wp.2019.010.
- Shayan Zakipour-Saber, 2019, "State-dependent Monetary Policy Regimes," Working Papers, Queen Mary University of London, School of Economics and Finance, number 882, Feb.
- Stéphane Lhuissier & Fabien Tripier, 2019, "Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation," Working papers, Banque de France, number 714.
- Valentin Jouvanceau, 2019, "New Evidence on the Effects of Quantitative Easing," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 1912.
- Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019, "Time series models for realized covariance matrices based on the matrix-F distribution," Papers, arXiv.org, number 1903.12077, Mar, revised Jul 2020.
- McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-13, Mar.
- McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-14, Mar.
- Cheng, T. & Gao, J. & Linton, O., 2019, "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1932, Mar.
- Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019, "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 879, Jan.
- Zea Bermudez, Patrícia de & Marín Díazaraque, Juan Miguel & Lopes Moreira da Veiga, María Helena, 2019, "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 28214, Mar.