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Report NEP-ETS-2011-05-30
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:
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011, "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 28, DOI: 10.5445/IR/1000023239.
- J. Isaac Miller, 2011, "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers, Department of Economics, University of Missouri, number 1103, May, revised 30 May 2012.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011, "Bayesian VARs: specification choices and forecast accuracy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1112.
- Xiaohong Chen, 2011, "Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1804, May.
- Viorel Costeanu & Dan Pirjol, 2011, "Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models," Papers, arXiv.org, number 1105.3359, May.
- Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011, "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-474, May.