Report NEP-ETS-2011-02-05This 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.
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) halshs-00560221, HAL.
- 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 2011s-13, CIRANO.
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- 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 1711, Center for Quantitative Economics (CQE), University of Muenster.
- Item repec:dgr:eureir:1765022216 is not listed on IDEAS anymore
- Item repec:dgr:umamet:2011003 is not listed on IDEAS anymore
- Edward Herbst & Frank Schorfheide, 2011. "Evaluating DSGE model forecasts of comovements," Working Papers 11-5, Federal Reserve Bank of Philadelphia.
- St\'ephane Chr\'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
- 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 1101.4437, arXiv.org.