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 2024-02-24 03:54:35 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

View

An Order-invariant Score-driven Dynamic Factor Model

A new GARCH model with a deterministic time-varying intercept

View

Macroeconomic Announcements and the Volatility Feedback Effect

View