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Report NEP-ETS-2010-05-29
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:
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010, "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche, CIRPEE, number 1021.
- Heather M Anderson & Farshid Vahid, 2010, "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/10, May.
- Morten Ø. Nielsen & S Johansen, 2010, "Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model," Working Paper, Economics Department, Queen's University, number 1237, May.
- Item repec:dgr:eureir:1765019358 is not listed on IDEAS anymore
- Item repec:dgr:eureir:1765019359 is not listed on IDEAS anymore
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010, "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/24, May.
- Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010, "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/21, May.
- Michael McAleer & Marcelo C. Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Univariate Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/28, May.
- Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010, "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2010-523, May.
- Pesaran, Hashem & Chudik, Alexander, 2010, "Econometric analysis of high dimensional VARs featuring a dominant unit," Working Paper Series, European Central Bank, number 1194, May.
- Bańbura, Marta & Modugno, Michele, 2010, "Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data," Working Paper Series, European Central Bank, number 1189, May.
- Carlo Marinelli & Stefano d'Addona & Svetlozar T. Rachev, 2010, "Multivariate heavy-tailed models for Value-at-Risk estimation," Papers, arXiv.org, number 1005.2862, May, revised Dec 2011.