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Report NEP-ETS-2019-07-29
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:
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019, "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing
[Modèles auto-régressifs non-causaux mixtes: Problèmes de bimodalité pour l'estimation et le test de racine unitaire]," Working Papers, HAL, number hal-02175760, Jul. - Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019, "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87431, Apr.
- Bucci, Andrea, 2019, "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper, University Library of Munich, Germany, number 95137, Jul.
- Peter Knaus & Angela Bitto-Nemling & Annalisa Cadonna & Sylvia Fruhwirth-Schnatter, 2019, "Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP," Papers, arXiv.org, number 1907.07065, Jul, revised Nov 2020.
- Marcel Bräutigam & Marie Kratz, 2019, "Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes," Working Papers, HAL, number hal-02176276, Jun.
- Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28638, Jul.
- Joshua C. C. Chan, 2019, "Asymmetric Conjugate Priors for Large Bayesian VARs," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-51, Jul.