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Report NEP-ETS-2009-09-19
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:
- Frank S. Nielsen, 2009, "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-38, Sep.
- Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009, "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-39, Sep.
- Michael Jansson & Morten Ørregaard Nielsen, 2009, "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-37, Aug.
- DeJong, David Neil & Dharmarajan, Hariharan & Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009, "Efficient likelihood evaluation of state-space representations," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2009-02.
- Manabu Asai & Michael McAleer, 2009, "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-655, Aug.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2009, "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-661, Sep.
- Manabu Asai & Michael McAleer, 2009, "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-657, Aug.
- Bušs, Ginters, 2009, "Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn," MPRA Paper, University Library of Munich, Germany, number 17273, Sep.