Report NEP-ETS-2011-02-19This 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:
- Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, Department of Economics and Business Economics, Aarhus University.
- David Hendry, 2011. "Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics," Economics Series Working Papers 530, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
- Cecilia Frale & Libero Monteforte, 2011. "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers) 788, Bank of Italy, Economic Research and International Relations Area.
- Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
- Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
- Frank Schorfheide, 2011. "Estimation and evaluation of DSGE models: progress and challenges," Working Papers 11-7, Federal Reserve Bank of Philadelphia.
- 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 1102.2240, arXiv.org.
- Michael C. M\"unnix & Rudi Sch\"afer, 2011. "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers 1102.1099, arXiv.org, 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 28720, University Library of Munich, Germany.