Report NEP-ETS-2012-04-10This 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:
- E. Otranto, 2012. "The Markov Switching Asymmetric Multiplicative Error Model," Working Paper CRENoS 201205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Eo, Yunjong & Kim, Chang-Jin, 2012. "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?," Working Papers, University of Sydney, School of Economics 2012-04, University of Sydney, School of Economics.
- Eo, Yunjong, 2012. "Bayesian Inference about the Types of Structural Breaks When There are Many Breaks," Working Papers, University of Sydney, School of Economics 2012-05, University of Sydney, School of Economics.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Common drifting volatility in large Bayesian VARs," Working Paper 1206, Federal Reserve Bank of Cleveland.
- Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
- Aleksei NETSUNAJEV, 2012. "Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity," Economics Working Papers, European University Institute ECO2012/13, European University Institute.
- Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers, European University Institute ECO2012/10, European University Institute.
- Claudia FORONI & Massimiliano MARCELLINO, 2012. "A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables," Economics Working Papers, European University Institute ECO2012/07, European University Institute.
- Carlos Fuertes & Andrew Papanicolaou, 2012. "Implied Probability Measures of Volatility," Papers 1203.6631, arXiv.org, revised Oct 2012.
- Georgiadis, Georgios, 2012. "The panel conditionally homogenous vectorautoregressive model," MPRA Paper 37755, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2012. "Supplementary appendix to "noncausal vector autoregression"," MPRA Paper 37732, University Library of Munich, Germany.
- Qiankun Zhou & Jun Yu, 2012. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics 11-2012, Singapore Management University, School of Economics.