Report NEP-ECM-2016-01-29

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

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Other reports in NEP-ECM

The following items were announced in this report:

• Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper 2016-002, Tilburg University, Center for Economic Research.
• Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015. "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers 2015-61, Department of Economics and Business Economics, Aarhus University.
• Jaydip Sen & Tamal Datta Chaudhuri, 2016. "Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector," Papers 1601.02407, arXiv.org.
• Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying, 2014. "Forecasting with EC-VARMA models," Working Papers 2014-07, University of Tasmania, Tasmanian School of Business and Economics, revised 22 Feb 2014.
• Giuseppe Cavaliere & Iliyan Georgiev & Robert Taylor, 2016. "Unit root inference for non-stationary linear processes driven by infinite variance innovations," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
• Richard H. Spady & Sami Stouli, 2016. "Dual Regression," Bristol Economics Discussion Papers 16/669, School of Economics, University of Bristol, UK.
• KUROZUMI, Eiji & 黒住, 英司, 2016. "Monitoring Parameter Constancy with Endogenous Regressors," Discussion Papers 2016-01, Graduate School of Economics, Hitotsubashi University.
• Wieladek, Tomasz, 2016. "The varying coefficient Bayesian panel VAR model," Bank of England working papers 578, Bank of England.
• Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
• Marc Hallin & Miroslav Šiman, 2016. "Multiple-Output Quantile Regression," Working Papers ECARES ECARES 2016-03, ULB -- Universite Libre de Bruxelles.
• Harris, D & Leybourne, SJ & Taylor, AMR, 2016. "Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point," Essex Finance Centre Working Papers 15847, University of Essex, Essex Business School.
• Jonas Hallgren & Timo Koski, 2016. "Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data," Papers 1601.06651, arXiv.org.