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Report NEP-ETS-2011-07-02
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:
- Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-20.
- Wasel Shadat, 2011, "On the Nonparametric Tests of Univariate GARCH Regression Models," Economics Discussion Paper Series, Economics, The University of Manchester, number 1115.
- Ralf Brüggemann & Helmut Lütkepohl, 2011, "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-23, Apr.
- Song Song & Peter J. Bickel, 2011, "Large Vector Auto Regressions," Papers, arXiv.org, number 1106.3915, Jun.
- Song Song, 2011, "Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach," Papers, arXiv.org, number 1106.3921, Jun, revised Jun 2011.
- Miguel, Belmonte & Gary, Koop & Dimitris, Korobilis, 2011, "Hierarchical shrinkage in time-varying parameter models," MPRA Paper, University Library of Munich, Germany, number 31827, Jun.
- Wintenberger, Olivier & Cai, Sixiang, 2011, "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper, University Library of Munich, Germany, number 31767, Jun.
- John Cotter, 2011, "Modelling Long Memory in REITs," Working Papers, Geary Institute, University College Dublin, number 200614, Jun.
- John Cotter & Simon Stevenson, 2011, "Multivariate Modelling of Daily REIT Volatility," Working Papers, Geary Institute, University College Dublin, number 200517, Jun.