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Report NEP-ETS-2012-06-25
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:
- Anders Rahbek & Heino Bohn Nielsen, 2012, "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-29, Jun.
- Johannes Tang Kristensen, 2012, "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-28, Jun.
- Item repec:imd:wpaper:wp2010-25 is not listed on IDEAS anymore
- Phillip Wild & John Foster, 2012, "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 466.
- Trenkler, Carsten & Weber, Enzo, 2012, "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 465, Jun.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012, "Quantile regression for long memory testing: A case of realized volatility," Working Papers, Banco de Portugal, Economics and Research Department, number w201207.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012, "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," IZA Discussion Papers, Institute of Labor Economics (IZA), number 6583, May.
- García de la Fuente, Cristina & Galeano San Miguel, Pedro & Wiper, Michael Peter, 2012, "Modeling financial time series with the skew slash distribution," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws121108, Jun.
- Marcus Scheiblecker, 2012, "Between Cointegration and Multicointegration. Modelling Time Series Dynamics by Cumulative Error Correction Models," WIFO Working Papers, WIFO, number 431, Jun.
- John M. Maheu & Yong Song, 2012, "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Paper series, Rimini Centre for Economic Analysis, number 27_12, Jun.
- K.M. Abadir & W. Distaso & L. Giraitis & H.L. Koul, 2012, "Asymptotic Normality for Weighted Sums of Linear Processes," Working Paper series, Rimini Centre for Economic Analysis, number 23_12, Jun.
- Karim M. Abadir & Rolf Larsson, 2012, "Biases of Correlograms and of AR Representations of Stationary Series," Working Paper series, Rimini Centre for Economic Analysis, number 24_12, Jun.
- Shu-Ping Shi & Yong Song, 2012, "Identifying Speculative Bubbles with an Infinite Hidden Markov Model," Working Paper series, Rimini Centre for Economic Analysis, number 26_12, Jun.
- Yong Song, 2012, "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper series, Rimini Centre for Economic Analysis, number 28_12, Jun.
- Item repec:eca:wpaper:2013/119605 is not listed on IDEAS anymore
- Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012, "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 08-2012, May.
- Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012, "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 07-2012, May.
- Chan, Joshua & Strachan, Rodney, 2012, "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper, University Library of Munich, Germany, number 39360.
- Simwaka, Kisu, 2012, "Time varying fractional cointegration," MPRA Paper, University Library of Munich, Germany, number 39505, Jun.