Report NEP-ETS-2007-11-10This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.
The following items were announced in this report:
- Ivana Komunjer & Michael T. Owyang, 2007. "Multivariate forecast evaluation and rationality testing," Working Papers 2007-047, Federal Reserve Bank of St. Louis.
- Gusztav Morvav & Benjamin Weiss, 2007. "On Sequential Estimation and Prediction for Discrete Time Series," Discussion Paper Series dp464, The Center for the Study of Rationality, Hebrew University, Jerusalem.
- Alex Novikov & Nino Kordzakhia, 2007. "Martingales and First Passage Times of AR(1) Sequences," Research Paper Series 205, Quantitative Finance Research Centre, University of Technology, Sydney.
- Matteo Pelagatti, 2007. "Modelling good and bad volatility," Working Papers 20071101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- Dimitrios D. Thomakos & Dimitris N. Politis, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Paper Series 44-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series 49-07, The Rimini Centre for Economic Analysis, revised Jul 2007.