Printed from https://ideas.repec.org/n/nep-ets/2012-01-25.html
Report NEP-ETS-2012-01-25
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:
- 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, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2012/1, Jan.
- 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), HAL, number halshs-00659158, Nov.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011, "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1106, 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, Kiel Institute for the World Economy, number 2012-1.
- Alexander Chudik & M. Hashem Pesaran, 2011, "Aggregation in large dynamic panels," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 101.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012, "Prior Selection for Vector Autoregressions," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-002, Jan.
- Nayoung Lee & Hyungsik Roger Moon & Martin Weidner, 2011, "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP37/11, Dec.
- Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann, 2012, "The class of nonlinear stochastic models as a background for the bursty behavior in financial markets," Papers, arXiv.org, number 1201.3083, Jan, revised May 2012.
- Ladislav Kristoufek, 2012, "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Papers, arXiv.org, number 1201.3511, Jan.
- 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, arXiv.org, number 1201.2825, Jan.
- 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, arXiv.org, number 1201.2817, Jan, revised Jun 2014.