Time Series III: State-Dependent and Time-Varying Parameters

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Martin Wagner Mariia Artemova Alexander Back Julius Schoelkopf	Contributed Sessions	31/08	18:00 CEST	90 mins	Martin Wagner	40,146	Add to Calendar `2023-08-31 18:00:00 2024-11-16 00:56:19 EEA-ESEM 2023: Time Series III: State-Dependent and Time-Varying Parameters. Room: 40,146 EEA-ESEM 2023 congress@eeassoc.org Europe/Rome public`

Papers

(Listed in order of presenters above)

Testing Linear Cointegration Against Smooth Transition Cointegration

An Order-invariant Score-driven Dynamic Factor Model

A new GARCH model with a deterministic time-varying intercept

Macroeconomic Announcements and the Volatility Feedback Effect

Presentations

Testing Linear Cointegration Against Smooth Transition Cointegration

An Order-invariant Score-driven Dynamic Factor Model

A new GARCH model with a deterministic time-varying intercept

Macroeconomic Announcements and the Volatility Feedback Effect

Econometric Society General Sponsors

Amazon science

BlackRock

D E Shaw & Co

Two sigma

Yale Economic Growth Center