Report NEP-ETS-2012-05-15This 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:
- Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers 2012-18, School of Economics and Management, University of Aarhus.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, School of Economics and Management, University of Aarhus.
- Kyriacou, Maria, 2012. "Overlapping sub-sampling and invariance to initial conditions," Discussion Paper Series In Economics And Econometrics 1203, Economics Division, School of Social Sciences, University of Southampton.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00694420, HAL.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Javier Ruiz-Castillo, 2012. "From the “European Paradox” to a European Drama in citation impact," Economics Working Papers we1211, Universidad Carlos III, Departamento de Economía.
- Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Working Paper 2012-06, Federal Reserve Bank of Atlanta.
- Edward Herbst & Frank Schorfheide, 2012. "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series 2012-11, Board of Governors of the Federal Reserve System (U.S.).
- Hayakawa, K. & Pesaran, M.H., 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models," Cambridge Working Papers in Economics 1224, Faculty of Economics, University of Cambridge.
- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.