Report NEP-ETS-2018-12-10

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti 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:

• Yoosoon Chang & Junior Maih & Fei Tan, 2018. "Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models," CAEPR Working Papers 2018-011, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Eric Benhamou, 2018. "Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets," Papers 1811.11618, arXiv.org, revised Dec 2018.
• Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers 2018-30, Department of Economics and Business Economics, Aarhus University.
• Chang, Yoosoon & Lu, Ye & Park, Joon Y., 2018. "Understanding Regressions with Observations Collected at High Frequency over Long Span," Working Papers 2018-10, University of Sydney, School of Economics.
• Jiang, Bibo & Lu, Ye & Park, Joon Y., 2018. "Testing for Stationarity at High Frequency," Working Papers 2018-09, University of Sydney, School of Economics.
• Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
• Laura E. Jackson & Kevin L. Kliesen & Michael T. Owyang, 2018. "The Nonlinear Effects of Uncertainty Shocks," Working Papers 2018-035, Federal Reserve Bank of St. Louis.
• Gabriel Rodríguez & Carlos Guevara, 2018. "The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers 2018-467, Departamento de Economía - Pontificia Universidad Católica del Perú.