Report NEP-ETS-2010-02-13This 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:
- Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.
- Alejandro Rodríguez & Esther Ruiz, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Statistics and Econometrics Working Papers ws100301, Universidad Carlos III, Departamento de Estadística y Econometría.
- Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series CIRJE-F-713, CIRJE, Faculty of Economics, University of Tokyo.
- Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010. "Cross-Correlation Dynamics in Financial Time Series," Papers 1002.0321, arXiv.org.
- Alghalith, Moawia, 2010. "New methods of estimating stochastic volatility and the stock return," MPRA Paper 20303, University Library of Munich, Germany.
- Willert, Juliane, 2010. "Mean Shift detection under long-range dependencies with ART," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover dp-437, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.