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Report NEP-ETS-2012-04-17
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:
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012, "Combination schemes for turning point predictions," Working Paper, Norges Bank, number 2012/04, Apr.
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012, "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-10, Mar.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers, Kyoto University, Institute of Economic Research, number 812, Apr.
- Márcio Laurini & Márcio Alves Diniz, 2012, "Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-05, Apr.
- Massimiliano Caporin & Michael McAleer, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/06, Apr.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2011, "Detecting big structural breaks in large factor models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we1141, Dec.
- Gary Koop & Dimitris Korobilis, 2012, "Large Time-Varying Parameter VARs," Working Paper series, Rimini Centre for Economic Analysis, number 11_12, Mar.
- Jozef Barunik & Tomas Krehlik & Lukas Vacha, 2012, "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers, arXiv.org, number 1204.1452, Apr, revised Feb 2015.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Testing for Multiple Bubbles," Working Papers, Singapore Management University, School of Economics, number 13-2012, Jan.
- Ye Chen & Jun Yu, 2012, "Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models," Working Papers, Singapore Management University, School of Economics, number 15-2012, Jan.
- Yong Li & Jun Yu, 2012, "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 14-2012, Jan.
- Xiaohu Wang & Jun Yu, 2012, "Double Asymptotics for Explosive Continuous Time Models," Working Papers, Singapore Management University, School of Economics, number 16-2012, Jan.
- Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers, Singapore Management University, School of Economics, number 17-2012, Jan.
- Beare, Brendan K. & Seo, Juwon, 2012, "Time irreversible copula-based Markov Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt31f8500p, Apr.