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Report NEP-ETS-2011-12-13
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:
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011, "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2011/5, Dec.
- Klein, Ingo & Tinkl, Fabian, 2011, "Some critical remarks on Zhang's gamma test for independence," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 87/2010.
- Xiangjin Shen & Hiroki Tsurumi, 2011, "Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models," Departmental Working Papers, Rutgers University, Department of Economics, number 201126, Jun.
- Cristina Fuentes-Albero & Leonardo Melosi, 2011, "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers, Rutgers University, Department of Economics, number 201131, Oct.
- Norman R. Swanson & Nii Ayi Armah, 2011, "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers, Rutgers University, Department of Economics, number 201105, May.
- Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201108, May.
- Norman R. Swanson & Lili Cai, 2011, "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers, Rutgers University, Department of Economics, number 201102, May.
- Norman R. Swanson & Valentina Corradi, 2011, "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Departmental Working Papers, Rutgers University, Department of Economics, number 201112, May.
- Søren Johansen & Bent Nielsen, 2011, "Asymptotic theory for iterated one-step Huber-skip estimators," Discussion Papers, University of Copenhagen. Department of Economics, number 11-29, Nov.
- Item repec:hum:wpaper:sfb649dp2011-085 is not listed on IDEAS anymore
- Ola L{o}vsletten & Martin Rypdal, 2011, "Approximated maximum likelihood estimation in multifractal random walks," Papers, arXiv.org, number 1112.0105, Dec, revised Feb 2012.
- Vladimir Soloviev & Vladimir Saptsin & Dmitry Chabanenko, 2011, "Markov Chains application to the financial-economic time series prediction," Papers, arXiv.org, number 1111.5254, Nov.
- Chang-Shuai Li, 2011, "Common persistence in conditional variance: A reconsideration," Papers, arXiv.org, number 1112.1363, Dec.