Printed from https://ideas.repec.org/n/nep-ets/2011-01-03.html
Report NEP-ETS-2011-01-03
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:
- Item repec:hal:wpaper:hal-00547737_v1 is not listed on IDEAS anymore
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010, "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/10, Dec.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010, "Testing the Box-Cox Parameter for an Integrated Process," KIER Working Papers, Kyoto University, Institute of Economic Research, number 750, Dec.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010, "Realized Volatility Risk," KIER Working Papers, Kyoto University, Institute of Economic Research, number 753, Dec.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010, "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," KIER Working Papers, Kyoto University, Institute of Economic Research, number 754, Dec.
- Manabu Asai & Michael McAleer, 2010, "Dynamic Conditional Correlations for Asymmetric Processes," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/76, Dec.
- Dominique Guegan & Philippe de Peretti, 2010, "An omnibus test to detect time-heterogeneity in time series," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10098, Dec, DOI: 10.1007/s00180-012-0356-7.
- Tetsuya Takaishi, 2010, "Bayesian estimation of GARCH model with an adaptive proposal density," Papers, arXiv.org, number 1012.5986, Dec, revised Dec 2010.
- Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian, 2010, "Computing and estimating information matrices of weak arma models," MPRA Paper, University Library of Munich, Germany, number 27685.
- Carbon, Michel & Francq, Christian, 2010, "Portmanteau goodness-of-fit test for asymmetric power GARCH models," MPRA Paper, University Library of Munich, Germany, number 27686.