Report NEP-ETS-2012-11-03This 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:
- Geert Mesters & Siem Jan Koopman, 2012. "A Forty Year Assessment of Forecasting the Boat Race," Tinbergen Institute Discussion Papers 12-110/III, Tinbergen Institute.
- Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & Dijk, D.J.C. van, 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," Research Paper ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
- Rodríguez, Alejandro & Ruiz, Esther, 2012. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15743, Universidad Carlos III de Madrid.
- Carnero, María Ángeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15744, Universidad Carlos III de Madrid.
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Deparment of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
- Omay, Tolga, 2012. "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper 42129, University Library of Munich, Germany.
- Bentes, Sonia R & Menezes, Rui, 2012. "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper 42193, University Library of Munich, Germany.
- Camacho, Maximo & Lovcha, Yuliya & Pérez-Quirós, Gabriel, 2012. "Can we use seasonally adjusted indicators in dynamic factor models?," CEPR Discussion Papers 9191, C.E.P.R. Discussion Papers.