Report NEP-ETS-2010-05-22
This 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.Subscribe to this report: email or RSS
Other reports in NEP-ETS
The following items were announced in this report:
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, School of Economics and Management, University of Aarhus.
- Keith Ord & Ralph Snyder & Adrian Beaumont, 2010. "Forecasting the Intermittent Demand for Slow-Moving Items," Monash Econometrics and Business Statistics Working Papers 12/10, Monash University, Department of Econometrics and Business Statistics.
- Alysha M De Livera, 2010. "Automatic forecasting with a modified exponential smoothing state space framework," Monash Econometrics and Business Statistics Working Papers 10/10, Monash University, Department of Econometrics and Business Statistics.
- Cecilia Mancini, 2010. "Speed of convergence of the threshold estimator of integrated variance," DiMaD Working Papers 2010-03, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze.
- Cecilia Mancini & Fabio Gobbi, 2010. "Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations," DiMaD Working Papers 2010-05, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze.
- Rama Cont & Cecilia Mancini, 2010. "Nonparametric tests for pathwise properties of semimartingales," DiMaD Working Papers 2010-02, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze.
- Item repec:tse:wpaper:22191 is not listed on IDEAS anymore
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Report EI 2010-36, Erasmus University Rotterdam, Econometric Institute.
- Caporin, M. & McAleer, M.J., 2010. "Ranking multivariate GARCH models by problem dimension," Econometric Institute Report EI 2010-34, Erasmus University Rotterdam, Econometric Institute.
- Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2010. "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System," Economics Series 251, Institute for Advanced Studies.
- Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.