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Report NEP-ETS-2012-04-10
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:
- E. Otranto, 2012, "The Markov Switching Asymmetric Multiplicative Error Model," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201205.
- Eo, Yunjong & Kim, Chang-Jin, 2012, "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?," Working Papers, University of Sydney, School of Economics, number 2012-04, Feb.
- Eo, Yunjong, 2012, "Bayesian Inference about the Types of Structural Breaks When There are Many Breaks," Working Papers, University of Sydney, School of Economics, number 2012-05, Feb.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012, "Common drifting volatility in large Bayesian VARs," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1206, DOI: 10.26509/frbc-wp-201206.
- Yuta Kurose & Yasuhiro Omori, 2012, "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-845, Mar.
- Aleksei NETSUNAJEV, 2012, "Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity," Economics Working Papers, European University Institute, number ECO2012/13.
- Peter Reinhard HANSEN & Allan TIMMERMANN, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2012/10.
- Claudia FORONI & Massimiliano MARCELLINO, 2012, "A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables," Economics Working Papers, European University Institute, number ECO2012/07.
- Carlos Fuertes & Andrew Papanicolaou, 2012, "Implied Filtering Densities on Volatility's Hidden State," Papers, arXiv.org, number 1203.6631, Mar, revised Mar 2017.
- Georgiadis, Georgios, 2012, "The panel conditionally homogenous vectorautoregressive model," MPRA Paper, University Library of Munich, Germany, number 37755.
- Lanne, Markku & Saikkonen, Pentti, 2012, "Supplementary appendix to "noncausal vector autoregression"," MPRA Paper, University Library of Munich, Germany, number 37732.
- Qiankun Zhou & Jun Yu, 2012, "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers, Singapore Management University, School of Economics, number 11-2012, Jan.