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Report NEP-ETS-2010-06-04
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:
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010, "Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1006.
- Yingyao Hu & Matthew Shum & Wei Tan, 2010, "A Simple Estimator for Dynamic Models with Serially Correlated Unobservables," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 558, May.
- Yamaguchi, Keiko & 山口, 圭子, 2010, "Estimating a change point in the long memory parameter," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2010-07, May.
- D.S.G. Pollock, 2010, "Oversampling of stochastic processes," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 44, May.
- Massimiliano Caporin & Michael McAleer, 2010, "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/34, May.
- Michael McAleer & Massimiliano Caporin, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/32, Apr.
- Pesaran, M.H. & Chudik, A., 2010, "Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1024, May.
- Ardia, David & Hoogerheide, Lennart F., 2010, "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper, University Library of Munich, Germany, number 22919, Feb.
- Janczura, Joanna & Weron, Rafal, 2010, "Goodness-of-fit testing for regime-switching models," MPRA Paper, University Library of Munich, Germany, number 22871, May.