Report NEP-ETS-2011-05-30This 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:
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- J. Isaac Miller, 2011. "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers, Department of Economics, University of Missouri 1103, Department of Economics, University of Missouri, revised 30 May 2012.
- Andrea Carriero & Todd Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Paper, Federal Reserve Bank of Cleveland 1112, Federal Reserve Bank of Cleveland.
- Xiaohong Chen, 2011. "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1804, Cowles Foundation for Research in Economics, Yale University.
- Viorel Costeanu & Dan Pirjol, 2011. "Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models," Papers, arXiv.org 1105.3359, arXiv.org.
- Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011. "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-474, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.