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Report NEP-ETS-2010-02-13
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:
- Monica Billio & Roberto Casarin, 2010, "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers, University of Brescia, Department of Economics, number 1002.
- Rodríguez, Alejandro & Ruiz Ortega, Esther, 2010, "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws100301, Jan.
- Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-713, Feb.
- Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010, "Cross-Correlation Dynamics in Financial Time Series," Papers, arXiv.org, number 1002.0321, Feb.
- Alghalith, Moawia, 2010, "New methods of estimating stochastic volatility and the stock return," MPRA Paper, University Library of Munich, Germany, number 20303, Jan.
- Willert, Juliane, 2010, "Mean Shift detection under long-range dependencies with ART," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-437, Feb.