Report NEP-ETS-2019-06-10This 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:
- Huber, Florian & Koop, Gary & Onorante, Luca, 2019. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Working Papers in Economics 2019-2, University of Salzburg.
- Harvey, A. & Palumbo, D., 2019. "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics 1950, Faculty of Economics, University of Cambridge.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019. "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics 28451, Universidad Carlos III de Madrid. Departamento de Economía.
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Mawuli Segnon & Manuel Stapper, 2019. "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers 8219, Center for Quantitative Economics (CQE), University of Muenster.
- Oliver Wichert & I. Gaia Becheri & Feike C. Drost & Ramon van den Akker, 2019. "Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing," Papers 1905.11184, arXiv.org.
- Dmitry Arkhangelsky & Vasily Korovkin, 2019. "On Policy Evaluation with Aggregate Time-Series Shocks," Papers 1905.13660, arXiv.org, revised Oct 2022.
- Chakrabarti, Anindya S. & Kumar, Sudarshan, 2019. "A computational algorithm to analyze unobserved sequential reactions of the central banks: Inference on complex lead-lag relationship in evolution of policy stances," IIMA Working Papers WP 2019-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
- Makram El-Shagi & Lunan Jiang, 2019. "Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets," CFDS Discussion Paper Series 2019/4, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.