Report NEP-ETS-2019-09-23

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:

• Robert Calvert Jump, 2018. "Unambiguous inference in sign-restricted VAR models," Working Papers 20181802, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
• Korobilis, Dimitris, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," MPRA Paper 96079, University Library of Munich, Germany.
• Perron, Pierre & Yamamoto, Yohei & 山本, 庸平, 2019. "The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence," Discussion paper series HIAS-E-90, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
• Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
• Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.