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Report NEP-ETS-2011-02-05
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:
- Dominique Guegan & Philippe de Peretti, 2011, "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00560221, Oct.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models," CIRANO Working Papers, CIRANO, number 2011s-13, Jan.
- Claudio Morana, 2010, "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 36-2010, Dec.
- Gerrit Reher & Bernd Wilfling, 2011, "Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1711, Jan.
- Item repec:dgr:eureir:1765022216 is not listed on IDEAS anymore
- Item repec:dgr:umamet:2011003 is not listed on IDEAS anymore
- Edward P. Herbst & Frank Schorfheide, 2011, "Evaluating DSGE model forecasts of comovements," Working Papers, Federal Reserve Bank of Philadelphia, number 11-5.
- St'ephane Chr'etien & Juan-Pablo Ortega, 2011, "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers, arXiv.org, number 1101.5475, Jan.
- Ph. Barbe & W. P. McCormick, 2011, "Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution," Papers, arXiv.org, number 1101.4437, Jan.