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Report NEP-ETS-2019-07-08
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:
- Peter Boswijk & Yang Zu, 2019, "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-043/III, Jun.
- Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019, "Time-Varying Cointegration and the Kalman Filter," Working Papers, Department of Economics, University of Missouri, number 1905, Jun.
- Rodrigues, Paulo M.M. & Sibbertsen, Philipp & Voges, Michelle, 2019, "Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-656, Jun.
- Pawel Dlotko & Simon Rudkin, 2019, "The Topology of Time Series: Improving Recession Forecasting from Yield Spreads," Working Papers, Swansea University, School of Management, number 2019-02, Jul.
- Alessandra Canepa, & Menelaos G. Karanasos & Alexandros G. Paraskevopoulos,, 2019, "Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 201911, Apr.
- Moundigbaye, Mantobaye & Messemer, Clarisse & Parks, Richard W. & Reed, W. Robert, 2019, "Bootstrap methods for inference in the Parks model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-39.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019, "Efficient Selection of Hyperparameters in Large Bayesian VARs Using Automatic Differentiation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-46, Jun.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019, "An Automated Prior Robustness Analysis in Bayesian Model Comparison," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-45, Jun.
- Darjus Hosszejni & Gregor Kastner, 2019, "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers, arXiv.org, number 1906.12123, Jun, revised Feb 2021.
- Gregor Kastner, 2019, "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Papers, arXiv.org, number 1906.12134, Jun.