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Report NEP-ETS-2012-07-08
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:
- Mark J. Jensen & John M. Maheu, 2012, "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series, Rimini Centre for Economic Analysis, number 48_12, Jun.
- Mark J. Jensen & John M. Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper series, Rimini Centre for Economic Analysis, number 45_12, Jun.
- Martin Burda & John M. Maheu, 2012, "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 46_12, Jun.
- Xin Jin & John M. Maheu, 2012, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 49_12, Jun.
- Satya N. Majumdar & Gregory Schehr & Gregor Wergen, 2012, "Record statistics and persistence for a random walk with a drift," Papers, arXiv.org, number 1206.6972, Jun, revised Aug 2012.
- Simwaka, Kisu, 2012, "Testing for time-varying fractional cointegration using the bootstrap approach," MPRA Paper, University Library of Munich, Germany, number 39698, Jun.