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Report NEP-ETS-2010-11-20
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:
- Tinkl, Fabian, 2010, "Asymptotic theory for M estimators for martingale differences with applications to GARCH models," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 09/2010.
- Jouchi Nakajima & Yasuhiro Omori, 2010, ""GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)," CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-J-228, Nov.
- Raquel Carrasco & José Ignacio García Pérez, 2010, "Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models," Working Papers, Universidad Pablo de Olavide, Department of Economics, number 10.11, Nov.
- Ralf Becker & Adam Clements & Robert O'Neill, 2010, "A Cholesky-MIDAS model for predicting stock portfolio volatility," NCER Working Paper Series, National Centre for Econometric Research, number 60, Aug.
- Ralf Becker & Adam Clements & Robert O'Neill, 2010, "A Kernel Technique for Forecasting the Variance-Covariance Matrix," NCER Working Paper Series, National Centre for Econometric Research, number 66, Oct.
- Renee Fry & Adrian Pagan, 2010, "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," NCER Working Paper Series, National Centre for Econometric Research, number 57, Jul.