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Report NEP-ETS-2008-04-12
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Eric Jondeau, 2008, "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-06, Feb.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008, "Factor-augmented Error Correction Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6707, Feb.
- Alonso Fernández, Andrés Modesto & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008, "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws081406, Mar.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008, "The ACR model: a multivariate dynamic mixture autoregression," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-11.
- Geert Dhaene & Olivier Vergote, 2003, "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0306, Mar.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008, "Forecasting economic and financial variables with global VARs," Staff Reports, Federal Reserve Bank of New York, number 317.