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Report NEP-ETS-2020-09-14
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:
- Hartwig, Benny, 2020, "Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model," Discussion Papers, Deutsche Bundesbank, number 34/2020.
- Maximilian Böck & Martin Feldkircher & Florian Huber, 2020, "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 395, Aug, DOI: 10.24149/gwp395.
- del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020, "On cointegration for processes integrated at different frequencies," MPRA Paper, University Library of Munich, Germany, number 102611, Aug.
- Simon Hetland, 2020, "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers, arXiv.org, number 2007.02588, Jul.
- Savi Virolainen, 2020, "Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks," Papers, arXiv.org, number 2007.04713, Jul, revised Oct 2022.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020, "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers, arXiv.org, number 2008.12706, Aug, revised Dec 2020.
- Alexander Chudik & M. Hashem Pesaran & Mahrad Sharifvaghefi, 2020, "Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks," CESifo Working Paper Series, CESifo, number 8475.
- Philippe Goulet Coulombe, 2020, "Time-Varying Parameters as Ridge Regressions," Papers, arXiv.org, number 2009.00401, Sep, revised Nov 2024.
- Rutger Jan Lange, 2020, "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-052/III, Aug, revised 19 May 2021.