Report NEP-ETS-2012-04-23This 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:
- José Casals & Sonia Sotoca & Miguel Jerez, 2012. "Minimally Conditioned Likelihood for a Nonstationary State Space Model," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers 1206, University of Guelph, Department of Economics and Finance.
- Hecq Alain & Laurent Sébastien & Palm Franz C., 2012. "On the Univariate Representation of BEKK Models with Common Factors," Research Memoranda 018, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers 1202, Department of Economics, University of Victoria.
- Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh, 2012. "Comparison results for Garch processes," Papers 1204.3786, arXiv.org.
- Jordi Camprodon & Josep Perell\'o, 2012. "Maximum likelihood approach for several stochastic volatility models," Papers 1204.3556, arXiv.org, revised Jul 2012.