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Report NEP-ETS-2011-02-19
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:
- Søren Johansen, 2011, "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-06, Jan.
- David Hendry, 2011, "Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics," Economics Series Working Papers, University of Oxford, Department of Economics, number 530, Feb.
- Jennifer Castle & David Hendry, 2011, "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers, University of Oxford, Department of Economics, number 528, Feb.
- Matteo Mogliani, 2010, "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers, HAL, number halshs-00564897, Aug.
- Cecilia Frale & Libero Monteforte, 2011, "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 788, Jan.
- Calhoun, Gray, 2014, "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32462, Mar.
- Aslanidis, Nektarios & Casas, Isabel, 2011, "Modelling asset correlations: A nonparametric approach," Working Papers, University of Sydney, School of Economics, number 2011-01, Jan.
- Frank Schorfheide, 2011, "Estimation and evaluation of DSGE models: progress and challenges," Working Papers, Federal Reserve Bank of Philadelphia, number 11-7.
- Duan Wang & Boris Podobnik & Davor Horvati'c & H. Eugene Stanley, 2011, "Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices," Papers, arXiv.org, number 1102.2240, Feb.
- Michael C. Munnix & Rudi Schafer, 2011, "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers, arXiv.org, number 1102.1099, Feb, revised Mar 2011.
- Taufemback, Cleiton & Da Silva, Sergio, 2011, "Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data," MPRA Paper, University Library of Munich, Germany, number 28720.