Report NEP-ETS-2011-02-19This 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:
- SÃ¸ren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, School of Economics and Management, University of Aarhus.
- David Hendry, 2011. "Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics," Economics Series Working Papers 530, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
- Cecilia Frale & Libero Monteforte, 2011. "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 788, Bank of Italy, Economic Research and International Relations Area.
- Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers 32462, Iowa State University, Department of Economics.
- Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers, University of Sydney, School of Economics 2011-01, University of Sydney, School of Economics.
- Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.
- Duan Wang & Boris Podobnik & Davor Horvati\'c & H. Eugene Stanley, 2011. "Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices," Papers 1102.2240, arXiv.org.
- Michael C. M\"unnix & Rudi Sch\"afer, 2011. "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers 1102.1099, arXiv.org, revised Mar 2011.
- Taufemback, Cleiton & Da Silva, Sergio, 2011. "Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data," MPRA Paper 28720, University Library of Munich, Germany.