Report NEP-ETS-2011-07-13This 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:
- Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers) 799, Bank of Italy, Economic Research and International Relations Area.
- Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
- T. De Groote & G. Everaert, 2011. "Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/723, Ghent University, Faculty of Economics and Business Administration.
- Andersson, Fredrik N. G., 2011. "Band Spectrum Regressions using Wavelet Analysis," Working Papers 2011:22, Lund University, Department of Economics.
- Michèle Chavoix-Mannato, 2011. "Working Party on Financial Statistics: Proceedings of the Workshop on Securitisation," OECD Statistics Working Papers 2011/3, OECD Publishing.
- Item repec:pav:wpaper:255 is not listed on IDEAS anymore
- Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Report EI 2011-18, Erasmus University Rotterdam, Econometric Institute.
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio E., Dept. of Economics.
- Ferretti, Nélida E. & Kelmansky, Diana M. & Yohai, Victor J., . "A goodnes-of-fit test based on ranks for arma models," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/5817, Universidad Carlos III de Madrid.
- Item repec:ner:carlos:info:hdl:10016/2770 is not listed on IDEAS anymore
- David E. Giles & Ryan T. Godwin, 2011. "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers 1110, Department of Economics, University of Victoria.