Report NEP-ETS-2008-04-12This 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 Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008. "Factor-augmented Error Correction Models," CEPR Discussion Papers 6707, C.E.P.R. Discussion Papers.
- andrés M. Alonso & Carolina Garcia-Martos & Julio Rodriguez & Maria Jesus Sanchez, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," Statistics and Econometrics Working Papers ws081406, Universidad Carlos III, Departamento de Estadística y Econometría.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Geert Dhaene & Olivier Vergote, 2003. "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Center for Economic Studies - Discussion papers ces0306, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York.