Report NEP-ETS-2012-01-25This 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:
- Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
- Item repec:syb:wpbsba:09/2011 is not listed on IDEAS anymore
- Item repec:syb:wpbsba:08/2011 is not listed on IDEAS anymore
- Item repec:syb:wpbsba:07/2011 is not listed on IDEAS anymore
- Item repec:dgr:umamet:2011055 is not listed on IDEAS anymore
- Di Iorio, Francesca & Fachin, Stefano, 2012. "A note on the estimation of long-run relationships in panel equations with cross-section linkages," Economics Discussion Papers 2012-1, Kiel Institute for the World Economy.
- M. Hashem Pesaran & Alexander Chudik, 2011. "Aggregation in large dynamic panels," Globalization and Monetary Policy Institute Working Paper 101, Federal Reserve Bank of Dallas.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Nayoung Lee & Hyungsik Roger Moon & Martin Weidner, 2011. "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," CeMMAP working papers CWP37/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann, 2012. "The class of nonlinear stochastic models as a background for the bursty behavior in financial markets," Papers 1201.3083, arXiv.org, revised May 2012.
- Ladislav Kristoufek, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Papers 1201.3511, arXiv.org.
- Hao Meng & Fei Ren & Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei-Xing Zhou & Wei Zhang, 2012. "Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations," Papers 1201.2825, arXiv.org.
- Mario Filiasi & Giacomo Livan & Matteo Marsili & Maria Peressi & Erik Vesselli & Elia Zarinelli, 2012. "On the concentration of large deviations for fat tailed distributions, with application to financial data," Papers 1201.2817, arXiv.org, revised Jun 2014.