Report NEP-ETS-2019-01-14

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-ETS

The following items were announced in this report:

• Tobias Hartl & Roland Weigand, 2018. "Approximate State Space Modelling of Unobserved Fractional Components," Papers 1812.09142, arXiv.org, revised May 2020.
• Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient Matrix Approach for Classical Inference in State Space Models," EMF Research Papers 19, Economic Modelling and Forecasting Group.
• Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
• Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
• Davy Paindaveine & Julien Remy & Thomas Verdebout, 2019. "Sign Tests for Weak Principal Directions," Working Papers ECARES 2019-01, ULB -- Universite Libre de Bruxelles.
• Corrado, L. & Stengos, T. & Weeks, M. & Ege Yazgan, M., 2018. "Robust Tests for Convergence Clubs," Cambridge Working Papers in Economics 1873, Faculty of Economics, University of Cambridge.
• Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," Papers 1812.09452, arXiv.org.
• Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
• Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2018. "Directed Graphs and Variable Selection in Large Vector Autoregressive Models," Working Paper Series of the Department of Economics, University of Konstanz 2018-08, Department of Economics, University of Konstanz.
• Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers 1841, Banco de España.
• Chen, Siyan & Desiderio, Saul, 2018. "Factor analysis with a single common factor," MPRA Paper 90426, University Library of Munich, Germany.