Report NEP-ETS-2015-11-01

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.

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Other reports in NEP-ETS

The following items were announced in this report:

• Mikkel Plagborg-Møller, 2015. "Bayesian Inference on Structural Impulse Response Functions," Working Paper 344351, Harvard University OpenScholar.
• Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
• Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach," Department of Economics - Working Papers Series 1194, The University of Melbourne.
• Renáta Géczi-Papp, 2015. "Possible Applications Of Genetic Algorithms In The Time Series Analysis, Using Stock Market Data," Enterprise Theory and Practice Doctoral School (ETPDS) Working Papers 9, Faculty of Economics, University of Miskolc.
• Item repec:esx:essedp:773 is not listed on IDEAS anymore

• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2015. "Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement," Working Papers 2015-31, Federal Reserve Bank of St. Louis.
• Annastiina Silvennoinen & Timo Teräsvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers 2015-47, Department of Economics and Business Economics, Aarhus University.