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Report NEP-ETS-2019-06-10
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:
- Florian Huber & Gary Koop & Luca Onorante, 2019, "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Working Papers in Economics, University of Salzburg, number 2019-2, May.
- Harvey, A. & Palumbo, D., 2019, "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1950, May.
- 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, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28451, May.
- 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, ULB -- Universite Libre de Bruxelles, number 2019-14, Jun.
- Mawuli Segnon & Manuel Stapper, 2019, "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 8219, May.
- 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, arXiv.org, number 1905.11184, May.
- Dmitry Arkhangelsky & Vasily Korovkin, 2019, "On Policy Evaluation with Aggregate Time-Series Shocks," Papers, arXiv.org, number 1905.13660, May, revised Mar 2024.
- 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, Indian Institute of Management Ahmedabad, Research and Publication Department, number WP 2019-06-02, Jun.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, , "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series, Economics Department, Pomona College, number 1001, revised 12 Feb 2020.
- Makram El-Shagi & Lunan Jiang, 2019, "Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets," CFDS Discussion Paper Series, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China, number 2019/4, May.