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Report NEP-ETS-2009-07-11
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:
- Martin M. Andreasen, 2009, "Stochastic Volatility and DSGE Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-29, Jul.
- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009, "An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-28, Jul.
- Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009, "Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model," Working Paper, Economics Department, Queen's University, number 1207, Jun.
- Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009, "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers, European University Institute, number 2009/32, Jun.
- Todd E. Clark, 2009, "Real-time density forecasts from VARs with stochastic volatility," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 09-08.